基于持有成本理论与统计原理的期货套利模型研究——沪深300指数期货套利实证研究

The analysis of the dealing in futures contracts model based on holding cost theory and statistical theory——The positive analysis of dealing in futures contracts of hs300clpr

由于持有成本理论结论与市场实际情况相去甚远,在持有成本理论形成的理论区间上,利用统计原理和SAS软件对区间进行修正,则可以使模型符合市场的需要,在此基础上对沪深300指数期货合约交易进行实证分析.

In this paper,author discusses the pricing of stock index futures model.Because the conclusion of holding cost theory falling short of practical market,use the SAS software and statistical theory to revise the interval that is formed by holding cost theory.Furthermore,positively analyze the dealing in futures contracts of hs300clpr.