股指期货套利与指数复制
On the Arbitrage of Stock Index Futures and Index Replication
-
摘要: 股指期货的价格与现货指数价格之间存在一定的关系,一旦两者之间的偏离超过一定程度,就可以进行无风险套利。文章通过研究在发现套利机会后,以追踪误差最小化为目标建立指数复制的问题及其数学模型。并提出一种嵌入式非线性规划算法的混合遗传算法进行有效的求解,并对香港恒生指数进行实证研究,得出理想的结果。Abstract: There are some relationships between the prices of stock index futures and spot index.Once the deviation between them exceeds a certain degree,risk-free arbitrage can be conducted.The paper concerns on the index replication problem after arbitrage opportunity are owned,and then a mathematical model is established to aim at minimizing tracking error.The model is solved efficiently by using a mixed genetic algorithm embed in a nonlinear programming algorithm.Furthermore,empirical research of this algorithm wi...
下载: