The Risk Management And Strategy Research Of Programing Trading Of Stock Index Futures

In recent years, the programing trading of stock index futures developed rapidly inChinese market. It has injected new vitality to the financial market in China, on the otherhand, brought certain risks to the market. How to get profits thoughout the programmingtrading of stock index futures, has become the concern for domestic investors. This papersummarizes and compares the futures of domestic and abroad markets on thedevelopment and characteristic of stock index future, then reviewed and summarized thepresent development situation of programming trading. On this basis, the researchdiscusses the stock index futures trading strategy in China. To build the correspondingalgorithm model by means of technical analysis, quantitative trading strategy for stockindex futures in China. Through a combination of both, to gain the programming tradingstrategy of stock index futures in China. The strategy concerned trend trading andarbitrage mainly, and pay attention to the stock index futures market speculationunilaterally. This paper applies GARCH-VaR model and montecarlo simulation methodof the VaR to determine the risk of stock index futures trading after the stock index futurestrading strategy is established, including the price movements of unpredictable risks andspecial risks of stock index futures. In addition, it is necessary to change constantly andimprove trading strategy in order to ensure the effectiveness of trading strategy in thestock of index futures according to the market situations, and so as to get some profits inthe market.In the part of technical analysis, this paper mainly adopts the traditional averagetrading model, BOLL channel model, shock index model and sentiment index model, etc.,and then judge the trend of price changes of stock index futures through the integrationof related indicators. In the part of algorithmic trading model, this paper determines thedirection of the stock index futures by applying the theory of catastrophe of structure inprice movements at different times, then employing the trend analysis method, includingthe trend ARIMA model, variable trading model and correlation analysis of futuresmarket and cash market, etc. In the part of risk management of stock index futures, thisarticle obtains the risk estimation and prediction by using the price volatility of stockindex futures, and then establish the volatility models thoughout the microstructure theoryof financial market, specific methods include generalized autoregressiveheteroscedasticity VaR method, etc. Finally, this article also puts forward for themontecarlo simulation method on the basis of VaR, so as to ensure the risk managementof stock index futures. On the basis of the above work, the trading strategies of stockindex futures were stylized in this paper, including the inspection and evaluation about the concrete method of stock index futures trading between various models, to investigatethe feasibility and stability of programming trading and risk management.