Research On Price Bubble Risk Evaluation And Early Warning Of Stock Index Futures

As an important component of capital market,stock index futures market plays an irreplaceable positive role.However,the higher risk of the stock index futures market cannot be ignored,especially the price bubble risk,which attracts the most attention and shows the transaction characteristics that frequent sharp ups and downs.How to prevent the frequent bursting of asset price bubbles in the financial market and restrain the excessive fluctuation of financial asset prices has become an urgent problem to be solved by the regulatory authorities,which is also of great significance to investors.This paper takes stock index futures as the research object,uses the log-periodic power law singularity model(LPPLS model)to detect the risk of price bubbles,builds a bubble risk evaluation system to evaluate the risk of price bubbles,and uses the LPPLS confidence index method to design the price bubble risk warning system of stock index futures for simulation,and puts forward countermeasures and suggestions accordingly which are used to control price bubbles risks.First of all,this paper elaborated the basic concepts and price bubble theory.Secondly,based on parameter estimation improvement and parameter setting of LPPLS model,this paper uses data of daily time series and adaptive multi-stage time series to detect the risk of historical price bubbles in stock index futures,which is to confirm the existence of price bubbles and the corresponding bubble features,and to prove the effectiveness of LPPLS model in price bubble detection.On the basis of the historical price bubble risk detection,a price bubble risk evaluation index system is constructed,which is carried out to clarify price bubble risk characteristics of the stock index futures.Thirdly,this paper introduced LPPLS confidence index to design the stock index futures price bubble risk warning system and set the corresponding parameter criterion,taking CSI 300 stock index futures as an example to simulate stock index futures price bubble risk warning research.The validity of the warning system and the warning characteristics of each data level are analyzed.Finally,on the basis of research conclusion of this paper and the status of China’s stock index futures market,the countermeasures and suggestions which are used to control stock index futures price bubbles risks are put forward for the government regulators and individual investors.The results show that there are price bubbles in three kinds of stock index futures contracts in their multiple time intervals,and the price bubbles in different stock index futures contracts,different data levels and time intervals have different characteristics.LPPLS model has a good effect on price bubble risk detection.Compared with negative bubbles,positive bubbles have higher bursting risk and greater bursting intensity.Each index futures price bubble risk has its own characteristics.The index futures price bubble risk warning system designed based on LPPLS confidence index method has higher warning accuracy;positive bubble bubble warning confidence is higher than negative bubble;bubble warning results of each data level have their own characteristics,and60-minute and 30-minute data show higher accuracy in price bubble warning.Based on this,relevant countermeasures and suggestions are put forward.