Hedging And Arbitrage Of Stock Index Futures Based On The Price Conditional Theory

The CSI300index futures in China launched the first stock index futures, because the stock index futures itself has the price discovery, risk transfer, the function of optimizing the allocation of resources, thus provides more investment opportunities for investors, can make use of stock index futures hedging and arbitrage. This article is for the Shanghai and Shenzhen300index futures hedging and arbitrage analysis research.In this paper, the first chapter is the introduction part, the paper introduces the research background and significance, literature review, as well as the research framework, and summarizes the research results of this paper. In the second chapter, respectively, by using the finite difference method and sequence of decomposition methods on the CSI300index futures day closing price modeling analysis, predict daily closing price movements, and evaluate the predicted effect of the two methods in turn. The third chapter mainly studies the application of stock index futures hedging, first of all, summing up the process of stock index futures to hedge and hedging empirical research, chooses the research object is Hua An180EFT and CSI300stock index futures, the most important thing in the process of research is to find the optimal hedging ratio and respectively using least square method and error correction model two kinds of methods to solve the optimal hedging ratio and the optimal hedge ratio calculation according to number of futures contracts, and hedging operations, finally to evaluate hedging effect. The fourth chapter mainly studies the stock index futures arbitrage model, using time series method, choose the Shanghai and Shenzhen300index futures IF1506and IF1509two contracts, using high frequency data, five minutes of two contracts arbitrage model is established, namely yield model, and according to the existing of the price terms of VaR risk measurement methods of the arbitrage model, testing the validity of the arbitrage model finally.Get the following conclusion:as the sequence decomposition method which can keep more sample information, therefore the sequence decomposition method to establish a prediction model to predict the effect than the difference method of modeling prediction effect is good; Least square method is used to calculate the optimal hedging ratio is less than, ignoring the effect of basis risk, the influence of the historical data for the optimal hedge ratio, the spot price and futures price whether two sequences is conditional heteroscedasticity and autocorrelation, error correction model is used to calculate the optimal hedging ratio after the hedging effect of more accurate; We chose the contract price difference and the four phase lag and price under the condition of yield lag issue of three variables to establish the arbitrage model, using VaR calculated risk arbitrage, think of the model prediction effect is good, and look for the optimal timing of arbitrage.