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1、positionaffecttheresultsofarbitrage.Resultsare,(1)closingpositionwhenthedifferenceofcalendarspreadandmovingaveragegobacktozeroisabetterstrategy;(2)themovingaverageparameterandthearbitragebandwidthinfluencethetradingtimesofthearbitrage;(3)whenthetradingfeeislow,moretradin
2、gmeanshigherreturns.Butitisadifferentstorywhenthetradingfeeishigh;(4)astradingfeeishardtomarksure,thestrategiesneedtobeconductedinthemarketinordertodeterminetherelatedparameters..KEYWORDS:treasurybondfuture,no-arbitragepricing,calendarspreadarbitrage,movingaverageIV萬方數(shù)據(jù)目
3、錄摘要IABSTRACT.........................................................................................................III第1章緒論......................................................................................................11.1研究背景....................................
4、..............................................................................11.2研究內(nèi)容和意義.......................................................................................................21.3論文框架.......................................................................
5、...........................................31.4論文的創(chuàng)新點(diǎn)...........................................................................................................3第2章文獻(xiàn)綜述..............................................................................................42.1國債期貨相
6、關(guān)的國內(nèi)外研究...................................................................................4
2.2期貨跨期套利相關(guān)國內(nèi)外研究...............................................................................5
第3章國債期貨的合約與運(yùn)行狀況..............................................................63.1國
7、債期貨合約條款...................................................................................................63.1結(jié)算價(jià)和盈虧計(jì)算...........................................................................................................73.2保證金要求.....................................
8、...................................................................................73.3交易費(fèi)用............
