股指期货量化投资模型分析

毕业设计（论文）题目股指期货量化投资模型分析姓名谢丹琼学号30701043专业班级统计0701班所在学院计算分院指导教师（职称）刘桂梅（讲师）二○一一年五月十五日浙江大学城市学院毕业论文摘要I股指期货量化投资模型分析【摘要】随着股指期货上市后的活跃度来看，该市场有很大的发展空间。本文从量化投资角度研究股指期货的投机交易。首先从时间序列角度对沪深300的价格做预测，了解沪深300整体价格走势。然后根据历史数据对行情进行分析，应用股指期货日内和隔夜策略进行模拟测试，并分析这两个模型的可行性。在建立模型后，用时间序列的曲线估计进行收益率预测，评估日内股指策略的收益情况。接着根据波动率模型和指数加权移动平均模型对沪深300指数的收益率进行预测风险。最后以风险价值VaR作为风险管理的一种手段，采用蒙特卡洛模拟法预测VaR的值。最后从操作平台开发角度分析了IT在股指期货量化投资模中的应用及发展前景。本文研究的创新在于股指日内和隔夜策略在实际交易中的应用，该模型在实际交易中有较高的收益和胜算率，具有一定的稳定性。【关键词】股指期货，交易系统，风险管理，VaR模型，时间序列浙江大学城市学院毕业论文AbstractIIAnalysisofStockindexfuturesquantizinginvestmentsmodel【Abstract】Alongwiththestockindexfutureslistedayearsofactivedegreetosee,thismarkethasverybigdevelopmentspace.Thisarticlefromquantitativeinvestmentresearchthestockindexfuturesspeculativetrading.First,fromtheperspectiveoftimeseriesforecastshenzhen300‘spriceandunderstandtheoverallpricetrendofshenzhen300.Thenapplyingastockindexfuturesdaysandovernightstrategygototestaccordingtohistoricaldata,analysisthefeasibilityofthesetwomodels.Aftertheestablishedmodel,forecastforyieldratebyusingtimeseries,evaluatetheyieldofstockindexdaysstrategy.Andthispaperdidriskpredictionbyusingvolatilityandindexweightedmovingaveragemodel.Finally,withriskvalueVaRasameansofriskmanagement,useMonteCarlosimulationmethodtopredictthevalueofVaR.Atlast,fromtheworkingplatformpoint,analysistheITtechnologyinquantitativeinvestmentmodelinstockindexfuturesintheapplicationanddevelopmentprospects.Thispaperstudiesinnovationpointsispointtodaysinpracticalstrategiesandovernightstrategywiththeapplicationsdeal.ThismodelinactualtransactionshashigherIncomeandProspectofsuccessrateandhascertainstabilityrate.【KeyWords】stockindexfutures，tradingsystem，riskmanagement，VaRmodel，Timeseries浙江大学城市学院毕业论文目录III目录第1章绪论.......................................................................................................................11.1本课题研究意义..................................................................................................11.1.1国内外研究现状.......................................................................................11.2课题主要研究内容..............................................................................................21.2.1研究重点和难点.......................................................................................21.2.2拟解决的关键问题...................................................................................3第2章股指期货介绍.......................................................................................................42.1股指期货基础知识..............................................................................................42.1.1股指期货的作用.......................................................................................42.1.2影响股票价格波动的因素.......................................................................42.1.3股指期货风险...........................................................................................52.2股指期货交易策略分类......................................................................................62.2.1股指期货套期保值...................................................................................62.2.2股指期货投机交易...................................................................................62.2.3套利...........................................................................................................6第3章股指期货交易模型...............................................................................................83.1时间序列预测股指期货长期趋势......................................................................83.1.1历史移动法预测长期趋势.......................................................................83.1.2指数平滑法预测趋势...............................................................................93.2股指期货实战交易模型......................................................................................93.2.1股指日内策略...........................................................................................93.2.2股指隔夜策略.........................................................................................11第4章风险预测与管理.................................................................................................134.1风险预测............................................................................................................134.1.1时间序列曲线估计模型.......................................................................134.1.2波动率模型.............................................................................................154.1.3指数加权移动平均模型（EWMA）....................................................164.2风险管理............................................................................................................174.2.1VaR的表示方..........................................................................................174.2.2VaR计算方法..........................................................................................174.2.3头寸变化.................................................................................................19第5章操作平台开发.....................................................................................................20浙江