Study On Stock Index Futures By Survival Analysis

With the rapid development of China’s capital market, securities capital market’ size expanding, the structure of the securities market changing, especially institutional investors for the risk aversion and the increasing demand of diversification of investment tools, the stock index futures on objective conditions such as contributed to the development and perfection of financial products. In view of the stock index futures in hedging, price discovery and risk management aspects of the unique advantages, in the international financial capital markets has become more mature, and is increasingly play an important role in investment tool. How can investors effective investment stock index futures? In this paper, from the Angle of stock index futures rose even drop characteristics, survival analysis methods to research and analysis.This article embarks from high frequency return of stock index futures 1 minute, through the perspective of survival analysis, from the stock index futures rose even fell minutes and even higher yields fell minute two aspects to analyze the characteristics of stock index futures price, we mainly use the three major functions of the survival model-survival function and probability density function, and risk function of stock index futures index continuous rise and fall of the number of minutes objective analysis, the characteristics of and compute the expectations even higher losses minutes is 1.8 minutes, under the condition of the theory is also the investors profit this time interval. For even higher yields fell minute, we conducted the Gamma distribution fitting, the result shows that stock index futures rose even down minutes yields better obey the Gamma distribution. On the basis of the Gamma distribution, we have stock index futures rose even falling yields interval probability and conditional probability was calculated, and results in text display; And through the comparison of the unconditional probability and conditional probability found that, rate of return on its history to a certain extent in the future will have impact. Finally, we analyzed the changes in minutes trading volume open interest and even up even down yields, found the volume of the two factors, only minutes with even higher yields down minutes show linear relationship of positive correlation, and change positions and no obvious linear relationship.