Study On Application Of The Stock Index Futures In Our Country

The stock index futures are standardized future contracts for which underlying is the stock price index. The role and position of Chinese stock market is becoming more and more important in national economy. With the development of Chinese capital market, the investors from different organizations, such as open-end fund, social security fund and assurance capital are forming continued flow in the stock market. In order to ensure the safe operation of huge sum of money and the normal development of the stock market, there is an urgent need of efficient risk prevention instruments such as stock index futures in Chinese capital market. The carrying out of the stock index futures will be beneficial to optimizing the function and the mechanism of the stock market, enriching the investment instruments of the mass of investors and play an important part to accelerate the development of Chinese stock market. This thesis focuses on the study of the pricing and arbitrage of the stock index futures; hedging of the stock index futures and the operating of the stock index futures for open-end fund; risk management of the stock index futures and the application of data mining in the stock index futures. First, the thesis studied hedging and speculating. The invention of the stock index futures was originally set for avoiding and transferring the risk for business owners. The basic principle of hedging is the tendency of the price in the cash market with that in the futures market. The basic hedging method is the business activities of a same kind of commodity with equal quantity but in the reverse direction between the cash market and the futures market. The thesis has proposed several hedging strategies for business owners by means of strong and weak basis. Corresponding to hedgers' transferring price risk and abandoning risk earnings, the speculators in the stock index futures market shall intentionally take the risk from hedgers in pursuit of profit. Speculating and hedging are two major economic activities in the futures market. Second, this paper has also studied the pricing and arbitrage of stock index futures. The theory foundation of futures pricing is based on the principle that the quotation of two similar capital in two markets shall necessary be the same. The futures price will ultimately converge to the cash price. This paper proposed the application of the fair basis pricing model, the cash-and-carry pricing model and the continuous compound interest pricing model in the stock index futures. It also discussed the type and the investment strategies of arbitrage, as well as the risk and cost analysis of arbitrage. Third, the paper proposed and proved that data mining is effective in the study of the stock index futures. It gave several application fields of data mining in the stock index futures, and predicted the stock index using BP neural networks. It also proved the effectiveness of data mining using in customer analysis,counseling,risk control and business analysis and so on.Last, due to the speculative, indirect and concentrate characteristics of stock index futures, the entire risk of the cash market is more intensively shown in the futures market, also due to the stock index futures trade's financial lever characteristics of "little against big", the accumulated risk is thus increasing, which will affect the corresponding financial capital markets. Therefore, the risk prevention and management of the stock index futures is especially important. The control of risk is an important premise to the development of stock index futures. The thesis has designed a real-time risk monitoring and warning system for the stock index futures and proposed a new method of risk assess in the stock index futures by using Bayesian Network.