【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=IF₁₂₁₂-IF₁₂₀₇和△P_12-09=IF₁₂₁₂-IF₁₂₀₉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.更多还原

【Abstract】 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(ΔP_12-07 = IF₁₂₁₂- IF₁₂₀₇,ΔP_12-09= IF₁₂₁₂-IF₁₂₀₉) have higher expected revenue,which should be paid more attention among CSI 300 index future researches.更多还原