stock arbitrage

Private Information Arbitrage in Chinese Stock Market: A Study Based on R~ 2

基于R~2的中国股市私有信息套利分析

This paper made the stock index futures price, discussed its tenable condition, established the actual no-arbitrage math model of stock index futures and studied the actual arbitrage of stock index futures.

本文首先对股票指数期货进行定价，然后就其成立的假设条件进行讨论，建立了实际的股票指数期货无套利数学模型，并结合实例对股票指数期货套利进行了实务研究。

This paper gives a model of arbitrage model of stock with regression methods, and makes statistic analysis of Shanghai stock in 1996.The result is that price of a stock is linear with its return, current capital stock and bonus share.

利用回归分析方法给定了一种股票定价模型，这种模型是APT模型的改造与实践，并结合沪市1996年数据，给出了模型的参数估计及检验。

With Cross-time arbitrage as the starting point, this article deduce the stock index futures price formulas through the use of no arbitrage pricing method, and deduce the formular of No-arbitrage interval bounds through the cash flow analysis.

并利用无套利定价法推导出了股指期货的理论价格公式以及利用现金流分析法推导出了无套利区间的上下界公式。

The time present arbitrage needs buying in both the futures market and the stock market, and takes the advantage of futures and stocks price volatility to make profit.

期现套利需要分别在期货市场和现货市场建仓，利用期货与现货价格差的波动进行获利。