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Study Of Trading Strategy And Risk Management Of Stock Index Futures

Posted on:2005-09-17Degree:DoctorType:Dissertation
Country:ChinaCandidate:B S WangFull Text:PDF
GTID:1116360122982268Subject:Financial engineering
Abstract/Summary:PDF Full Text Request
Stock index futures pricing by no- arbitrage theory and an actual no- arbitragemathematical model of stock index futures was given in this dissertation, Arbitragershould find out whether there are some opportunities according to their arbitrage cost.To get a maximal income they should use transformative arbitrage strategy flexiblywhich was given in the dissertation. The Multi-Aptitude Body Uncertain Composed Methods are used to deal withthe historical data and forecast ways in which the minimum variance hedge ratio iscalculated synthetically,in order to foster calculational reliability of the minimumvariance hedge ratio in hedging of stock index futures The mathematical hedging model which is consists of ? risk premium, basis riskpremium and systematic risk premium is built based on Capital Assets Price Model.The model is used to increase income under the condition which a systematic risk isreduced, not only the model reflects the actual meaning of hedging of stock indexfutures ,but also combines conventional hedging theory and modern combinatorialhedging theory. The BP neural networks method are introduced to forecast futures price in aspeculating trade of stock index futures and satisfactory results are obtained inempirical studies. VaR is used to measure the market risk of America S&P500 stock index futuresand a conclusion is got that supervisor and trader can adjust supervision strategyand provision of risk capital according to daily Varvalue. The study gives a riskmanagement tool which can be used when the stock index futures are developedin future in our country. According to the analysis of advantage and disadvantage of stock indexfutures supervision mechanism in other countries,one-unit three-level supervisionmechanism and measures were established and risk management was studied inadvance in our stock index futures market.
Keywords/Search Tags:Stock index futures, Arbitrage, Hedge, Speculation, Risk management
PDF Full Text Request
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