etf股指期權(quán)套利及實證檢驗

1、摘要 I 論文題目： 論文題目：ETF TF 股指期權(quán)套利及 股指期權(quán)套利及實證檢驗 實證檢驗 學科專業(yè) 學科專業(yè)：金融學 金融學 研 究 生：劉瀟瀟 劉瀟瀟 簽名： 簽名： 指導教師： 指導教師：扈文秀 扈文秀 教授 教授 簽名 簽名： 摘要 摘要 自 2015 年 2 月 50ETF 期權(quán)上市至今已滿兩年時間，同時深證 100ETF 期權(quán)與滬深 300ETF 期權(quán)也處于仿真模擬階段。我國股指期權(quán)市

2、場雖然起步晚，交易規(guī)則還在進一步完善，但發(fā)展勢頭迅猛，緊追國外成熟市場其后。金融衍生品市場的發(fā)展完善，可選擇投資種類的增加，無論是對于套期保值，還是進行套利都增加了投資者的交易機會。 在國外金融市場中， 通過衍生品進行量化投資已經(jīng)被多數(shù)對沖基金廣泛應(yīng)用于實踐， 且取得了穩(wěn)定的收益。 中國衍生品市場還屬于新興市場，市場參與者較少，信息不能夠充分流動，導致我國期權(quán)市場仍存在一定的套利空間。 本文在廣泛閱讀國內(nèi)外文獻的基礎(chǔ)上， 針對中國 ET

3、F 股指期權(quán)市場， 建立量化投資策略， 分別是配對交易下的套利策略和趨勢預判下的套利策略。 配對交易下的套利策略所選擇的套利對象為 50ETF 看漲期權(quán)，100ETF 看漲期權(quán)和 300ETF看漲期權(quán)。 在運用協(xié)整檢驗的方法確認了三者可能存在套利機會的基礎(chǔ)上， 建立配對套利組合，并且依據(jù)歷史數(shù)據(jù)進行回測檢驗。同時，因為 100ETF 期權(quán)與300ETF 期權(quán)處于仿真模擬階段，在確定策略可行的基礎(chǔ)上進行 Matlab 編程，使得策略在實時

4、交易下仍然可行。趨勢預判下的套利策略選擇的套利對象為上證50 指數(shù)與 50ETF 看漲期權(quán)。在對二者建立了 VAR 模型的基礎(chǔ)上，通過 Granger因果檢驗以及脈沖響應(yīng)函數(shù)確認了這兩個價格序列變動的領(lǐng)先滯后關(guān)系以及具體時滯。據(jù)此時間關(guān)系，通過 Matlab 編程構(gòu)建套利策略，使得策略在實時交易下也可運行，并且依據(jù)歷史數(shù)據(jù)對數(shù)據(jù)進行回測檢驗。 程序運行結(jié)果顯示， 配對交易下的套利策略在回測歷史數(shù)據(jù)時套利機會與收益率不如趨勢預判下的套利策

5、略， 但總體保持了正的收益率。 但從一整年的回測結(jié)果看出，套利機會逐漸減少，交易趨于穩(wěn)定。趨勢預判下的套利策略找尋出了我國股指市場與股指期權(quán)市場的聯(lián)動效應(yīng)，套利機會較多，開倉次數(shù)頻繁，收益率略高，策略可行，但應(yīng)注意市場劇烈波動的風險。 關(guān)鍵詞 關(guān)鍵詞：ETF 期權(quán)；協(xié)整檢驗；套利策略 Abstract III Abstract Since the 50ETF options publicly traded has been two ye

6、ars at February 2015. In the meanwhile, the 100ETF options and the 300ETF options are in the stage of simulation. Although, compared with foreign mature derivatives market, we still have some distance, the options market

7、 in our country is in a state of vigorous development. The further development of financial derivatives market, the more types of investment tools or hedge tools we can choose, and the development of financial market inc

8、reased the investors' trading opportunities. In overseas financial markets, Quantitative Investment through derivatives have been widely used in practice by most hedge funds , and achieved a stable income. The deriva

9、tives market in China is still pertains to emerging markets, where the market participants less and the information is lack of liquidity. All of above result in a more arbitrage space in the options market in our country

10、. On the basis of extensive reading of domestic literature and foreign literature, we establish a quantitative investment strategies for Chinese ETF index options market in this paper. The arbitrage strategy are based on

11、 paired trading and the trend forecasting. The strategy based on paired trading choose the arbitrage object of 50 ETF call options, 100 ETF call options and 300 ETF call options. We used the cointegration test to confirm

12、ed the possibility of arbitrage opportunities firstly, then established a paired trading portfolio and used the historical data to measure the yield of this portfolio. Meanwhile, because the 100ETF options and 300ETF opt

13、ions are in the simulation stage, and on the basis of the strategy is feasible, we programmed this strategy by Matlab to make it still viable under the real-time. The strategy based on trend forecasting choose the arbitr

14、age object of Shanghai 50 index and 50ETF call options. We established the VAR model , then used the Granger causality test and impulse response function to confirmed the relationship between the two price series ,and th

15、e specific time delay. According to this relationship between the two Title: Arbitrage of ETF index options and its empirical test Professional Fields: Finance Applicant: Xiaoxiao Liu Signature: Supervisor：Prof