指數套利 的英文怎麼說
中文拼音 [zhǐshǔtàolì]
指數套利
英文
index hedge-
Based on the discussion of the hedging strategy, the arbitraging strategy and the speculation strategy, this thesis studies some other important investment strategies, such as portfolio insurance, asset allocation, indexing and spreading strategy. as for the hedging strategy, this thesis mainly discusses its principle, the hedge ratio and the imperfect hedging strategy
本文在論述股指期貨的套期保值、套利和投機三大基本交易策略的基礎上,探討了股指期貨的其他一些重要的投資策略,如投資組合保險、資產配置、構造指數化投資組合以及圖利策略等。In these years, image measuring has been used in every walk of life gradually. this paper discusses the characteristic, the virtue and the application of digital image measuring. in this paper. after analyzing the practical situation and theory, it has confirmed the project that identify automatically the pointer and the reticle of the pressure gauge with technique of optic photographic system, image process and automatic identification
近年來,圖像測量逐漸應用到各行各業。本文討論了數字圖像測量的特點、優點及應用范圍,結合實際情況和理論分析,確定了利用光學攝像系統和圖像處理、識別技術,自動識別壓力表的指針和刻線的方案,解決了壓力表示值的自動檢定問題,研製了一套集計算機、圖像處理和識別、自動控制和光學等技術於一體的壓力表示值的自動檢定系統。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 multi - aptitude body uncertain composed methods are used to deal with the historical data and forecast ways in which the minimum variance hedge ratio is calculated synthetically , in order to foster calculational reliability of the minimum variance hedge ratio in hedging of stock index futures the mathematical hedging model which is consists of
本文利用多智能體系統不確定性結論合成方法( mabm ) ,將股票指數期貨套期保值最小風險保值比率計算的歷史數據分析法和預測法進行了綜合處理,進而提高股指期貨最小風險保值比率的可靠性。基於資本資產的定價模型建立由To reduce the basis risk, this thesis offers a compound hedge policy on stock index futures and deduces the expressions of the hedge ratio in two instances when the cost is same or restricted. this paper analyses the investments of pension fund from 9 - 6 - 2003 to 7 - 10 - 2003, then it demonstrates the stock portfolio of pension found by the goal program model
為了降低套期保值交易的基點差風險,本文提出了利用多種股票指數期貨對股票組合進行復合套期保值的策略,並給出了套期保值成本相同和限制套期保值成本兩種情況下的套期保值率公式。As one of important financial derivatives, stock index futures could find true value and be used for hedging, and become an effective tool for preventing risks. stock index futures has a very fast development, and it has become a most important financial tool
股票指數期貨是20世紀80年代發展起來的新型衍生金融工具,具有價值發現、套期保值、套利、風險管理和豐富投資者投資手段的功能,是一種行之有效的避險工具。The comparative ability of resources for bearing the pressure of population, the efficiency of resources utilization, the efficiency of energy utilization, the rate of resources reserves decrease, the surcharge of the resources, the resources possessed by per capita, the consumption of resources by per capita, the index of resources guarantee ' s degree, the gross consumption of substance, the intensity of the consumption of substance, and the productivity of substance and so on indexes for natural material resources were chose to construct a index system that could be used to tell the degree of the sustainable development for certain material flow ( short for mf )
本文簡要介紹了可持續發展及區域物料流的概念。選取相對資源承載力、資源利用效率、能源利用效率、資源儲量變化率、資源超載人數、人均資源佔有量、人均資源消費量、資源保證程度指數、物質消耗總量、物質消耗強度及物質生產力等指標建立了一套自然材料資源的可持續能力評價指標體系。概括介紹了中國西部的兩個典型省區和一個典型地區,即重慶、甘肅及攀枝花地區典型材料行業發展現狀。Based on the detailed investigate on the work of direction to take up an occupation and the valuable experience of many universities and institutes, we bring forward a suit of evaluation indexes for the work of university graduate " s employment, such as the wish of graduates for employment, the employer " s requirement, the rate of the employment obtained, the rate of supply and requirement, the rate of wishes and requirement, the degree of individual satisfaction, the degree of colony satisfaction and the degree of wishes altered, etc. these indexes can reflect the trend of the graduate " s notion for job choice and the requirement from the society, the state of the graduate " s employment with different major and so on. so these indexes are useful for the direction. using the modern computer and database technologies and obeying the rule of software energy, we have developed the management system for university graduates " employments and this software meets the requirement of scientific and high efficiency management
本文在對高校畢業生就業工作進行詳細的調研基礎上,匯集了多所大專院校畢業生就業分配工作的寶貴經驗,提出了一套高校畢業生就業工作評估指標,如畢業生擇業願望、用人單位需求、一次就業率、供需比、願需比、個體滿意度、群體滿意度以及擇業願望調整度等多項指標,由這些指標,可以反映出畢業;生就業觀念和社會需求的變化趨勢,及各專業的就業情況、畢業生擇業願望與社會需求的符合度等等,從而為高校畢業生就業工作提供指導,並且利用現代計算機和數據庫技術,嚴格按照軟體工程的方法,經過可行性研究與計劃、需求分析、設計、編程、測試以及運行維護等階段,研製出了一套高校畢業生就業信息管理軟體,很好地實現了高校畢業生就業工作的科學、高效管理。This original presents the universal insulation materials and the general testing and evaluating method for pipelines " insulation of the thermodynamics power generating plant ; performs the insulation testing and evaluating of the high temperature steam pipelines of longfeng heat and power plant ; takes composite structural research on the high temperature steam pipelines, and establishes the relevant optimizing physical and mathematical model of the insulation layer, confirms the constraint and boundary condition, carries on optimizing design for the thickness of insulating layer ; in order to more systematically analyzing the present situation of insulation of the installation and pipelines of longfeng heat and power plant, develops a suit of software namely " the information associated decisive system for the insulation project ", taking advantage of this software can achieve. the design, evaluation and direction to building for the insulation project, examine the criterion of design and building, the perform ance and manufacture data of different insulation material, which is convenient to the selection of insulation material
在進行保溫結構優化的過程中,主要是針對高溫蒸汽管道進行復合結構研究,並建立相應的物理及數學模型,找出其約束條件和邊界條件。同時為了更加系統地對龍鳳熱電廠設備及管道的保溫現狀進行分析,開發了一套「絕熱工程信息決策系統」軟體,利用該軟體可以實現絕熱工程的設計、評估及施工指導,並可以查閱設計及施工標準、各種絕熱材料性能和生產廠家的資料,便於絕熱材料的選擇。該套軟體的設計填補了國內空白,避免了絕熱工程改造、設計及施工過程中的無序現象,規范了絕熟工程市場,從而為我國絕熱工程的選材、設計、施工及管理提供科學依據。Chapter four control the stock investment risk, aims at the different types of risks discussed above, has constructed a systematic scheme to control the investment risk effectively. firstly, it utilizes basic analytic approach, the technological analytic approach and index system of the risk measurement to control individual stock ' s unsystematic risks in minimum ; secondly, it uses modern investment theory to dispel the unsystematic risks through combination investment. finally, our country should introduce the stock price index futures and so on in good time, utilize stock price index futures to hedge the stock portfolio and control the systematic risks of the stock portfolio, thus can finally realize the effective systematic controls on stock investment
第四章「證券投資風險的控制」 ,針對前面討論的不同種類的風險,構造k碩士學位論文物篇夕m引皿』 s 」 l 」 i壓引s一了個有效控制投資風險的系統方案:首先,利用基本分析法、技術分析法和風險度量指標體系,將單個證券的非系統性風險控制在最小;其次,利用現代投資理論,通過組合投資來消除非系統性風險;最後,我國應適時推出股票指數期貨等衍生余融工具,利用股指期貨對證券組合進行套期保值,就能控制證券組合的系統性風險,最終實現對證券投資風險的有效系統控制。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。In a well functioning capital market, arbitrage prevents the law of one price from being broken, and in fact, violations of the law are rarely seen
在一個高效有續的資本市場,套利可以防止單一價格定律被打破,事實上,違反這一規則的事例屈指可數。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。This paper introduces the vector load index in a computing cluster to the multi - scp intelligent network system, and proposes a mechanism which is based on vector load index to solve the ssp ’ srouting problem in this environment
本文將集群計算中的向量負載指數引入分散式多scp智能網環境中,提出了一套基於利用向量負載指數的負載平衡技術解決此網路環境下ssp對業務呼叫請求的路由問題。The paper is composed of five chapters the first chapter first introduces the concept, characteristics and the course of development of the stock index futures, then deduces the pricing formula of stock index futures and further analyses the functions of stock index futures and the impact of its transaction on the fluctuation of the spot transactions. the second chapter demonstrates the need and feasibility of the introduction of the stock index futures in china. through the empirical analysis of the market risk of china ' s stock market, we can see that the risk difference between individual stocks, so a portfolio investment wo n ' t help much in risk aversion
本論文共分為五章,第一章在介紹股票指數期貨的概念、特點以及產生與發展的過程的基礎上,對股票指數期貨的定價公式進行了推導,從而引出股票指數期貨的套期保值、指數套利、資產配置、組合保險等作用,進而分析股票指數期貨交易對股票現貨市場波動性的影響;第二章主要是對中國推出股票指數期貨的必要性和可行性進行論證,通過對中國股票市場風險測度的實證分析,得出了中國股票價格波動齊漲齊落,個股之間的風險差異小的特點,因此,投資者進行投資組合的避險效果就很有限,無論是個人投資者還是機構投資者,都必須面臨中國股票市場巨大風險的事實。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。Risk premium, basis risk premium and systematic risk premium is built based on capital assets price model. the model is used to increase income under the condition which a systematic risk is reduced, not only the model reflects the actual meaning of hedging of stock index futures, but also combines conventional hedging theory and modern combinatorial hedging theory
風險溢價、基差風險溢價和系統風險溢價三部分構成的股票指數期貨套期保值原理數學模型,該模型的運用考慮在規避掉系統風險的前提下,如何使套期保值利潤最大化,該模型不僅從本質上反映套期保值實際意義,而且還是傳統套期保值理論與現代組合投資套期保值理論的有機結合。分享友人