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股指期货基差的非线性特征和均值回复机制研究
蒋勇1; 吴武清2; 叶五一1; 陈敏3; 缪柏其1
2013
Source Publication中国科学技术大学学报
ISSN0253-2778
Volume43Issue:12Pages:989
Abstract只有当股指期货与现货之间的基差足够大到能够补偿交易成本时,指数套利者才会进入市场进行套利.利用三阶段门限自回归模型研究了我国股指期货市场的非线性特征及均值回复机制,并给出了有别于传统持有成本模型的无套利区间.实证结果表明:该模型刻画了股指期货市场的非线性均值回复特征;由模型识别出的门限值反映出我国反向套利成本过高的事实.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/46322
Collection应用数学研究所
Affiliation1.中国科学技术大学
2.中国人民大学
3.中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
蒋勇,吴武清,叶五一,等. 股指期货基差的非线性特征和均值回复机制研究[J]. 中国科学技术大学学报,2013,43(12):989.
APA 蒋勇,吴武清,叶五一,陈敏,&缪柏其.(2013).股指期货基差的非线性特征和均值回复机制研究.中国科学技术大学学报,43(12),989.
MLA 蒋勇,et al."股指期货基差的非线性特征和均值回复机制研究".中国科学技术大学学报 43.12(2013):989.
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