沪深300股指期货跨期套利价差的R/S分析

R/S Analysis on Calendar Spread of CSI—300 Index Futures

基于R/S分析应用Hurst指数和V统计量对于沪深300股指期货合约跨期套利价差的1min数据进行实证研究,得出其Hurst值在(0.4,0.5),平均循环周期在(8,20)min。这显示跨期价差具有较低程度反持续性的分形市场特征。由于套利行为的影响,过去趋势对于未来有相反作用,与股票现货市场的长期记忆性不同。

The emperial research of the 1 minute data of the calendar spread of CSI—300 Index futures utilizing Hurst exponent and V statistics based on R/S analysis gives its Hurst exponent in（0.4,0.5） and the average loop cycle between（8,20） minutes.Such an outcome indicates that the calendar spread reflects a fractal market character with low-level anti-persistence.Because of the impact from arbitrage,the past tendency in calendar spread brings counter-effect in future,which is different from long-term memory of stock spot market.