A Dependent Analysis In Financial Assets-Kernel-Copula Technology Application In The Index Future Arbitrage

This paper introduces the Copula technology,and applys the Copula func-tion to financial assets in correlation analysis,To describe the joint distribution of a number of asset yields in the market.The Copula function contains the tail of all relevant information, it can be more comprehensive, more profound portrayal of the financial sequence between the tail correlation.Applying it to the analysis of financial markets can more accurately measure the portfolio volatility, risk and return, and the whole stock market trends.This paper summarizes Copula technology roughly.It can analyze multidi-mensional random variable combination matter,and will not be affected by the marginal distributions.It can make the complex financial problems one divide into two. Firstly we construct the actual marginal distribution model,Then use the Copula function to make connections. So the distribution function is a very good flexibility, and can answer market risk correlation problem deeply.It is a very good tool, therefore, it is widely applied to the financial dependency analysis, financial risk analysis, portfolio of assets pricing problem.This paper mainly uses a branch of the Copula technology:Archimedes Copula function. The family function fits the market correlation analysis more extensive and mature. And on this basis we construct Mixed Copula function.This paper summarizes the Copula function parameter estimation and nonparametric estimation problem.Estimation problem is often the key step of the Copula function.This paper uses the EM algorithm to solve the explicit matter.This paper summarizes the selection of optimal Copula function methods, including Monte Carlo image method, constructing M statistic method, AIC guidelines for diagnosis method.In this paper, an empirical analysis is given to consider the relevance be-tween the capital return in the arbitrage of stock index futures. Copula mode analysis using in stock index future arbitrage is of theoretical and practical significance.Stock index futures arbitrage, only take full account of their rele-vance, namely, the stock index futures and the underlying index, subject in-dex and the structure of the stock portfolio correlation, can immediately grasp the arbitrage opportunity, seize the price, to win the greatest return.Here the main study is the rank correlation and tail correlation, the traditional linear correlation coefficient is not suitable for the abnormal fluctuation in financial analysis.In the process of the arbitrage of stock index futures,we pay atten-tion to the construction spot, the trend of the index, combination of futures price trend, here can we thought for their future fluctuations as a correlation analysis? Especially when the market appears in extreme cases,how is their correlation? this paper may give some conclusions.