Csi 300 Stock Index Futures Margin Design

Econophysics, as the name implies, is the application of physical principles to economic problems. However, the practice of econophysics is more specific than this, both on the Physics side and on the Economics side. From the Physics side, econophysics is mainly considered to be restricted to the principles of statistical mechanics. This restriction is necessary in some sense, since economists have long employed the principles of Newtonian and Lagrangian mechanics to economic problems, while the application of statistical mechanics is relatively new.The area of economics to which statistical mechanics is applied has for the most part been similarly limited: the application involved is almost invariably to financial markets. Financial markets comprise many different interacting actors, with the interactions occurring relatively frequently. This setup is the type of problem for which statistical mechanics was created.However, financial markets are not the only field for which econophysicists apply physical principles. As first noted by Mandelbrot in the early 1960s, asymptotically power law distributions are present in many areas of economic analysis, such as wealth distribution. It turns out the statistical mechanics is especially suited towards explaining power law distributions, so the application to these problems can be clear. More recently, there has been some pioneering work done in modeling more general aspect of economics. This paper uses R/S method to analyze Husheng300 stock index, and we find it is fractal. Then we simulate the behavior of Fractal Brownian Motion by Monte Carlo simulation, and according to the result we set up the level of the margin by using VaR Method.The purpose of this study is to provide a reference to the margin setting when Husheng300 stock index future is launched.