【作者】 刘丹； 杨德权；

【Author】 Liu Dan, Yang Dequan (Institute of System Engineering, Dalian University of Technology, Dalian 116024)

【机构】 大连理工大学系统工程研究所；

【摘要】 股票指数期货的推出指日可待,但国内股指期货的研究仍停留在定性分析和简单的定量分析程度上。本文定量的研究套利交易对定价偏差的影响,以及不同定价偏差下的不同套利策略。通过引用多时期均衡模型和平滑过渡均值回复过程模型说明了套利是如何对定价偏差产生影响及不同套利策略的不同交易成本,如何影响套利策略,同时考虑了不同的套利者套利策略差异对定价偏差的影响。并定量的提出了不同定价偏差下适合不同套利者的最优套利策略。对即将推出的我国股票指数期货交易市场上的投机者与套利者进行套利活动有理论指导意义和实际操作意义。更多还原

【Abstract】 The stock index future is coming, but the study on it is remained on qualitative a-nalysis and simple quantitative analysis in our country. The article was concerned with the impact of arbitrage trading on the mispricing process in the presence of market frictions and how to choose trading strategy in different circumstance quantitatively. Multiperiod equilibrium model combined with the smooth transition autoregressive model (STAR) to analysis the impact of arbitrage trading on the mispricing. the heterogeneous arbitrageurs and their arbitrage strategies. Also brings about optimal arbitrage strategies in different mispricing. It is directive in theory and in practical for speculators and arbitrageurs for the coming of stock index future market in our country.更多还原