股指期货价格

本文首先综述研究了股指期货价格预测的多种方法，通过对不同方法的优劣性进行简要的比较分析，确定了本文选用BP神经网络对股指期货价格进行预测。

After a brief comparative analysis of the pros and cons of different methods , the author selects BP neural network as a basic approach for forecasting the price of stock index futures .

同时，通过对两个时间序列进行Granger因果检验，从所得结果可以看到，股指期货价格与股指现货市场价格之间呈现出双向的引导关系，两者互为Granger因果原因。

Then by using Granger Causality test , we can see that there is a bi-directional relationship between the price of stock index and stock index futures market .

股指期货价格形成机制研究

A Study on Price Forming Mechanism of Stock Index Futures

股指期货价格非线性均值回复特性实证研究

Empirical study of nonlinear mean - reversion characteristic of stock - index futures

股指期货价格操纵的手段、潜在操纵风险与判别分析

Analysis of Price Manipulations in Stock Index Futures Market : Means , Potential Manipulation Risk and Discrimination

随后本文探讨了交易成本对期货价格的影响，推导出股指期货价格的无套利区间表述公式。

This chapter also discussed the influence of trading cost and inferred an equation of no-arbitrage bund .

在实验三中，动量投资者的加入使得股指期货价格开始剧烈波动，成交量也大幅增加了。

In Experiment 3 , the accession of momentum investors began to price volatility of stock index futures , trading volume has greatly increased .

我国股指期货价格变动领先于现货市场的价格变动，期货市场具有价格发现功能。

The changes of stock index futures price is ahead of the spot market , and the futures market has the function of price discovery .

第三，股指期货价格发现功能对股市波动的影响则比较复杂。

Thirdly , the effect of stock index futures ' price discovery function on the volatility of stocks market is not clear as that of risk management function .

第五章分析了股指期货价格发现功能对现货市场的影响，以及投资者在此影响下可以采取的投资策略。

Chapter V analyzes the influence of price discovery of stock index futures on the spot market , and how can investors take the investment strategy under this influence .

得到的结论是：我国股指期货价格与现货价格之间确实存在着长期协整的关系，且这种关系可以通过短期动态调整来实现。

The final result is : stock index futures of our country have a long-term stable relationship with the stock price and and this kind of long-term relation was realized by the short-term dynamic adjustment .

对于现货市场的短线交易者，可以参考股指期货价格走势作为投资决策方向的一个预判指标，在股指期货市场和现货市场之间构建-个风险管理体系。

For short-term traders in the spot market , they may refer to stock index futures price for making investment decision , then set up a risk management system between stock index futures market and spot market .

放宽利率假设，认为利率是随机波动的连续时间定价模型是持有成本模型的扩展。综合交易费用、融资成本、存贷利差等因素的区间定价模型为股指期货价格提供了一个无套利的价格区间。

Comprehensive transaction costs , financing costs , savings and loan benefits poor factor pricing model provides a no-arbitrage pricing interval . Suppose we relax the interest rate that the rate is the continuous-time stochastic volatility pricing model is an extension of holding cost model .

再次，由于股指期货价格反映投资者对未来现货市场价格走势的预期，因此股指期货交易以对未来现货指数预期为基础，这反映了股指期货的跨期性。

The price of Shanghai-Shenzhen 300 Stock Index Futures and its spot market will have close relations . Again , stock index futures price reflects the expectations of price in cash market among investors . So index futures trading is established on the expected price of spot index .

股指期货具有价格发现和套期保值两大功能。

Stock index futures have two functions , including hedging and discovering price .

接着分析了股指期货均衡价格的形成是套利机制作用的结果。

Then this paper analyzes the formation of the equilibrium price of stock index futures is the result of arbitrage mechanism .

通过构建多层感知器网络结构对股指期货的价格进行预测，然后基于预测的结果构建交易策略。

In detail , I construct a trading strategy based on the predicted results which is provided by the multilayer perceptron network structure .

第四章对我国股指期货的价格发现效率进行了实证分析，为第五章的展开作铺垫。

Chapter IV researches the efficiency of price discovery about stock index futures in china , in order to pave the way to start the fifth chapter .

其理论基础是在通常情况下，股指期货的价格与股票市场现货价格均受到相同因素的影响，两者的变动是一致的或者高度相关的。

The theory basis is the price of stock index futures and stock market are determined by the same factors , and the change between them is consistent or highly relevant .

股指期货具有价格发现、风险管理和期现套利的功能，有助于优化市场投资者结构，提供风险对冲机制和完善期货市场法律体系。

Generally , stock index future has three basic functions , that is , price discovery , hedging and arbitrage . The futures market could help manage the risk and establish a complete futures law framework .

考虑到股指期货现货价格与期货价格之间存在分数维协整关系，将利用分数维向量误差修正模型用于估计股指期货最优套期保值比率。

I also calculate the dynamic critical value of budget deficit Consider the fractional cointegration between the spot prices and futures prices of Stock index futures ; we use fractional Vector Error Correction Model ( VECM ) to estimate the optimal hedge ratios of stock index futures .

首先，股指期货合约价格的形成主要来自投资者对未来现货价格的预期，同时股指期货市场相比现货市场具有很多优点，对新信息的反应速度更快，因此更能体现现货指数的真实价格。

Stock index futures prices reflected expectations of price in cash market among investors . Also , stock index futures market conducts news information faster and has many advantages comparing to cash market . So the price of index futures reflects the real value of spot market .

这说明股指期货的价格发现、规避风险等功能随着股指期货市场的发展正在逐渐得到充分的发挥，但是和国外成熟的市场相比我国股指期货市场仍然存在各种问题和缺陷。

This shows that the function of stock index futures such as price discovery , risk elusion is gradually get full with the development of the stock index futures market . But compared with the mature markets overseas , Chinese stock index futures market still has various problems and defects .

在VAR模型下的格兰杰因果检验中发现股指期货和现货价格互为格兰杰原因，表明价格发现是两个市场相互作用的过程。

The pair wise granger causality test suggests that the stock index futures price and spot market price are mutual granger reasons . Both the derivative and cash market have effect on the price process .

我国股指期货市场的价格发现与波动溢出效应

Price Discovery and Volatility Spillovers of Stock Index Futures Markets in China

股指与股指期货价格发现过程研究

Study on price discovery process between stock index and stock index futures

股指期货（股票价格指数期货）是以股票价格指数为标的的指数期货。

Stock index futures is the index futures underlying the stock price index .

股指期货市场的价格稳定机制和价格均衡机制以及市场的参与度是股指期货市场的核心问题。

Price stablization and equilibrium mechanism as well as the behavior of investors are the core issues of stock index futures market .

大量研究发现在成熟的金融市场中，股指期货发挥着价格发现的作用，股指期货的价格领先于股票指数。

A great number of researches have found that stock index futures have the effect of price discovery , and stock index futures leads stock index .

股指期货市场存在价格波动大、保证金杠杆交易等特点，随着股指期货市场的深入发展，如何对股指期货风险进行正确的识别及管理已成为一个重要的问题。

With the in-depth development of the stock index futures market , the correct understanding and risk management of stock index futures has become an important issue .