基于小波分析的股指期货套期保值策略

本文基于沪深300股指票指数和股指期货数据,采用小波分析构建套期保值模型,利用有效性指标与传统计量模型估算的套期保值策略进行比较。基于以下几点认为小波分析套保策略最优：（1）小波策略在规避双侧风险略差,但保留大量有利风险,很好地平衡风险与收益;（2）小波策略较为稳健,对样本的依赖程度较小,不同样本区间的划分不影响小波套保策略的效果;（3）小波策略在中短期与短期相比套保效果一致,稳定性强。本文的研究兼顾了套期保值的频度和稳健性,对套期保值效果的考察更为严谨,有助于为市场参与者和监管层提供更科学的套期保值方案。

Stock index futures hedging strategy based on wavelet analysis

in this paper, the Shanghai and Shenzhen 300 stock index stock index and stock index futures based on the data analysis of the hedging model, constructed by wavelet, compared the hedging strategy using the effective index and the traditional econometric model estimation. The following points that wavelet analysis based on the optimal hedging strategies：（1） wavelet method in avoiding bilateral risk slightly worse, but to retain a large number of favorable risk, a good balance of risks and benefits;（2） wavelet method is more robust, less dependence on the number of samples, divided into different sample interval does not affect the wavelet hedging strategy effect;（3） wavelet method in in the short and short compared to hedging effect consistent, strong stability.This paper studies with the frequency and stability study of hedging, hedging effectiveness is more rigorous, helps market participants and regulators to provide the hedge plan more scientific.