index arbitrage 中文意思是什麼
index arbitrage
解釋
指數套戥-
Then sharpe, linter, mossion and ross, etc. developed markowitz ' s mean - variance model, leaded to standard investment models like capital asset pricing model ( capm ), single - index model and arbitrage pricing theory ( apt )
后經sharpe ， litner ， mossion和ross等人發揚光大，提出了capm ， apt等標準投資模型，完成了資本資產定價的問題。 -
Stock index futures pricing by no - arbitrage theory and an actual no - arbitrage mathematical model of stock index futures was given in this dissertation, arbitrager should find out whether there are some opportunities according to their arbitrage cost. to get a maximal income they should use transformative arbitrage strategy flexibly which was given in the dissertation
本文基於無套利理論對股票指數期貨進行定價，給出了股票指數期貨實際的無套利數學模型，根據該模型可得出:套利者應該根據自身的套利成本判斷是否有套利機會，在進行套利交易時應該靈活地運用本文給出的套利交易的變形策略，使套利交易收益更高。 -
On the one hand, the author discusses markowitz ' s mean - variance portfolio selection model, single - index portfolio selection model, and simplified model of optimal portfolio selection. at the same time, based on the rules of optimal portfolio selection and other risk - metric indices, the author also discusses mean - absolute deviation model, mean - semivariance model and mean - value at risk model. on the other hand, the author discusses the asset pricing model, including the capital asset pricing model ( capm ), the multi - factor asset pricing model, and the arbitrage pricing model ( apt )
一方面，作者討論了馬科維茲的均值-方差資產組合選擇模型、單指數資產組合選擇模型、最優資產組合選擇的簡化模型，同時根據最優資產組合選擇原則和其他風險度量指標，討論了均值-絕對離差、均值-半方差和均值-風險價值資產組合選擇模型；另一方面，作者討論了資產定價模型，包括多因素資產定價模型和套利定價模型，特別是在四種因素變量的基礎上，探討多因素資產定價模型。 -
The first chapter introduces several important models of investment portfolio in the present capital market, such as covariance model, capital asset pricing model, single index model and arbitrage pricing theory. in the last of this part, the thesis analyse strongpoint and disadvantage of each model
第一章詳細介紹了目前資本市場上關于投資組合的幾個重要模型，如協方差模型、資本資產定價模型、單指數模型和資產套利模型等，在本章的最後，論文對這些模型各自的優缺點進行了簡單的分析比較。 -
With the prerequisite of reasonable hypothesis, the author starts from the general definition of the arbitrage, obtains the no - arbitraging condition, namely the pricing model of the stock index futures, explains the other pricing models, and discusses the process of the index arbitrage with the model
對于指數套利交易策略，本文在合理假設的前提下從套利的一般定義出發，得出了無套利條件，即股指期貨的定價模型，並對其他一些常見的定價模型進行了解釋，然後利用這一模型討論了套利交易的過程。 -
Based on the review of the evolutions of stock indices and the innovations of index products, this article discussed the different methods of index replication, and then sum med up those researches on different methods, arithmetic models and their implications, including quadric programming, lineal programming, robust regression, monte carlo simulation and genetic algorithm, etc. aiming to give a technical reference for index derivatives design, index arbitrage, and indexing investment
摘要在回顧證券價格指數演變及指數衍生品創新的基礎上，探討了指數復制的不同方法，進而從文獻綜述的角度對證券價格指數復制中涉及到的方法與演算法模型進行整理，總結了二次規劃、線性規劃、魯棒回歸、蒙特卡洛模擬以及遺傳演算法等不同方法與模型的具體應用，為指數衍生品產品設計、指數套利以及實施指數化投資策略提供技術參考。 -
But it is like a two - way sword, the article analyses the side effect of stock index futures market, such as it can bring economic foam, its failure may become bigger, stock index transaction and the index arbitrage may adversely affect the stability of market, and stock index futures makes the cash market and derivatives market produce interaction relationship, hence providing convenience for stock investors to manage futures market
但是本文同時提出必須認識到股指期貨是一把雙刃劍，分析了股指期貨可能帶來的負面影響，比如它可能會形成經濟泡沫；股指期貨操作失敗的影響有放大的可能；股指期貨交易和由此引發的指數套利行為可能會影響市場的穩定；股指期貨交易使現貨和衍生市場間產生互動關系，從而為炒家利用股指期貨操縱市場提供了方便等等。 -
Secondly, we establish an easy arbitrage portfolio, not taking the portfolio ' s expected return into account. and conventional computation of expected return is short of accuracy, so we introduce index smoothness model to estimate single stock ' s expected return to remedy the limitation
其次，在不考慮組合預期收益率的前提下，建立一個簡單的套利組合，並引入指數平滑模型來估計單個證券的預期收益率，以克服傳統估計方法中的不精確性。 -
When the investors hold a large amount of stock positions, sales mechanism will not impact arbitrage, and its impacts on the stock index futures transaction is very limited ; however, market - making system aims to promote the liquidity in the securities or future contracts
當投資者事先擁有大量股票頭寸時，做空機制對套利交易沒有影響，對股指期貨交易的影響十分有限；而做市商制度的初衷一般是為了提高證券或期貨合約的市場流動性。
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