Research On Programmed Trading Model Of Shanghai And Shenzhen 300 Stock Index Futures

With the reform and opening up for 40 years,China's economy took off and the securities market gradually improved.Investors trade way is affected by the developed countries,gradually comes into contact with the programmatic transaction,transaction is no longer limited to the traditional way to trade,in such a situation,how to design a set of under certain risk coefficient of income,the higher the system is the key to investors to study.Due to the late start of the procedural transaction in China,the current programmed trading is close to the "pseudo-quantitative trading".It is simple to use the computer to realize the previous artificial stock,investment ideas,using the program to realize the previous manual operation.Most programming trading is just based on the analysis of traditional technical chart analysis and technical indicators to build a model,it established the model of the lack of theoretical basis,no strict logical proof,can't use financial theory to prove the validity of the idea.It is the lack of prompting scholars study constantly,to develop more and more perfect programming trading system,the author knowledge and practical experience is limited,mainly introduced the programming trading some theory knowledge,several trading model,hope has enlightening significance to the later scholars,this paper is based on SPSS software on the csi 300 stock index futures ARIMA programmed trading model is designed.In this paper,the program trading strategy is divided into index class model and statistical model.The index class model is mainly based on the relevant technical analysis index to establish the trading model,and the statistical model is to use mathematical and financial knowledge to analyze the data to establish the mathematical model.This paper mainly focuses on the csi 300 index futures as the research object,statistical analysis,and using SPSS analysis tool to establish ARIMA model.This article is divided into five parts,the third part and the fourth part is the focus of this article,the third part introduces several trading strategies,which are frequently used the typical average trading model index(BBI),shock index model(MACD indicators)and brin channel class model(among),then introduces the ARIMA model and monte carlo model.In the fourth part,the ARIMA model was established by using SPSS software to study the data of Shanghai and shenzhen 300 stock index futures from October 29,2015 to March 7,2018.