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Received:September 27, 2013 Revised:November 11, 2013
Received:September 27, 2013 Revised:November 11, 2013
中文摘要: 针对我国股指期货市场存在的问题——理论与实际应用脱节,造成股指期货市场的发展需求和实际发展条件不平衡,提出构建股指期货套利管理系统的策略. 依据实地调研资料进行系统设计,使用C#实现股指期货套利管理系统(SIFAM-System). 系统实现了基于基差的跨期套利和基于无套利区间的跨期套利,以及与套利相关的信息管理功能. SIFAM-System利用计算机实现模型计算、行情监控、套利机会的判断及开平仓,达到了辅助投资者决策的目的,也为股指期货市场的发展问题提供了从理论到实现的解决策略.
Abstract:Aiming at the problem of the gap between theory and practice that exists in our stock index futures market which causes the disequilibrium between the development demand and actual condition of the market. The present paper proposes a strategy to solve it, namely to construct a system of stock index futures arbitrage and management. The system's design is based on practical survey, and the realized system named SIFAM-System is based on C#. The system implements two calendar spread arbitrage strategies based on models. One is calendar spread arbitrage based on basis trade and the other is calendar spread arbitrage based on arbitrage-free interval. It also implements some management functions that are related to the core function of arbitrage. The system implements model calculation, market monitoring, arbitrage opportunities judgment, and open or close positions by computer-assisted, which achieves the goal of decision-making for investors. It also provides a solution strategy from theory to practice to the development problem that exists in the stock index futures market.
keywords: stock index futures arbitrage system basis arbitrage-free interval calendar spread arbitrage database design
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基金项目:国家自然科学基金(70971021,71371046);上海市教委基础创新重点项目(12ZS055)
引用文本:
李云,范宏.股指期货套利管理系统.计算机系统应用,2014,23(5):21-30
LI Yun,FAN Hong.Stock Index Futures' Arbitrage and Management System.COMPUTER SYSTEMS APPLICATIONS,2014,23(5):21-30
李云,范宏.股指期货套利管理系统.计算机系统应用,2014,23(5):21-30
LI Yun,FAN Hong.Stock Index Futures' Arbitrage and Management System.COMPUTER SYSTEMS APPLICATIONS,2014,23(5):21-30