摘要
基于正态分布和t分布的平稳序列前提,给出了沪深300股指期货跨期套利的最优套利点确定方法.通过对沪深300股指期货不同合约之间的差价进行平稳性检验,发现大部分差价具有平稳性,所以基本适用于给出的最优套利点分析方法.经过对5个平稳差价序列的最优套利点分析,发现△P_(12-07)=IF_(1212)-IF_(1207)和△P_(12-09)=IF_(1212)-IF_(1209)的套利期望收益较大,应该成为沪深300股指期货跨期套利的主要关注对象.
Based on Normal distribution and T distribution stationary series, the optimum arbitrage point determining method of CSI 300 index futures has been given. According to stationary test on different contracts, most of price margin series is stationary. Therefore, the methods have been given from this paper almost suit for any circumstances. Analysis on 5 stationary price margins＇ optimum arbitrage points, there are two series （△P12-07=IF1212-IF1207,△P12-09=IF1212-IF1209） have higher expected revenue, which should be paid more attention among CSI 300 index future researches.
出处
《数学的实践与认识》
CSCD
北大核心
2013年第6期251-256,共6页
Mathematics in Practice and Theory
关键词
最优套利点
平稳
正态分布
T分布
optimum arbitrage point
stationary
normal distribution
t distribution
