A Research On The Nonlinearity Of H&S300Index Futures Mispriclng Time Series

SHE-SZSE300stock index futures(H&S300index futures)， as the firstfinancial future product, has play an important role in decreasing market cash,enhance liquidity and price discovery until now. Because of transaction cost,microstructure and market participant activities, stock index futures exists mispricing.The mispricing of H&S300index futures can be defined into the difference betweenmarket price and theory price. The mispricing time series is referred to continuousstock index future mispricing practice in the time axe.Mispricing time series, themajor part of financial time series, has the fundamental nonlinear characters offinancial time series., such as sharp peak and heavy tail, volatility cluster. Atpresent, there are many studies related to nonlinear characters of financial timeseries. However, researches related to are rare. This paper adopts the similarnonlinearity method which has acquired success in other financial time series to study300index futures mispricing time series. The task of this paper uses fractal theory andR/S analysis method to examine the nonlinear characters and indicate the nonlinearcharacters of sharp peak and heavy tail, similarity，volatility cluster,long memory andfracture. Finally, paper decides to use ARMA-GARCH model to simulate mispricingtime series and forecase mispricing in short time.