Characteristics of futures trading 1. Two-way futures trading: One of the biggest differences between futures trading and stock market is that futures can be traded in two directions, and futures can be long or short. When the price rises, you can buy low and sell high, and when the price falls, you can sell high and make up low. Going long can make money, and shorting can also make money, so there is no bear market in futures. In a bear market, the stock market will be suppressed, while the futures market will remain unchanged and opportunities will still exist. )
2. The cost of futures trading is low: countries that trade futures do not collect stamp duty and other taxes, and the only cost is the transaction fee. At present, the procedures of the three domestic exchanges are about two ten thousandths or three ten thousandths, plus the additional fees of brokers, and the unilateral handling fee is less than one thousandth of the transaction amount. Low cost is the guarantee of success.
3. Leverage of futures trading: The leverage principle is the charm of futures investment. You don't need to pay all the money to trade in the futures market. At present, domestic futures trading only needs to pay a deposit of 5% to obtain future trading rights. Due to the use of margin, the original market has been enlarged ten times. We assume that the daily limit of copper price closes on a certain day (the daily limit in futures is only 3% of the last trading day), and the operation is correct, and our capital profit rate reaches 60%(3%? 5%) is six times the daily limit of the stock market. (You can make money only if you have the opportunity)
4、? T+0？ Double trading opportunities: what is futures? T+0？ Trading, make the best use of your funds. After you grasp the trend, you can trade at any time and close your position at any time. (Convenient access can increase the security of investment)
5. Futures is a zero-sum market but greater than a negative market: futures is a zero-sum market, and the futures market itself does not create profits. In a certain period of time, regardless of the transaction costs of capital entry and exit, the total amount of funds in the futures market remains unchanged, and the profits of market participants come from the losses of another trader. The stock market has entered a bear market, the market price has shrunk dramatically, the dividends are meager, the state and enterprises absorb funds, and there is no short-selling mechanism. The total amount of funds in the stock market will show negative growth for a period of time, and the total profit is less than the loss. (Zero is always greater than a negative number)
The comprehensive policy of the country, the needs of economic development and the characteristics of futures all determine that futures have huge development space. The full name of stock index futures is stock price index futures, which can also be called stock index futures and futures index. It refers to the standardized futures contract with the stock index as the subject matter. The two sides agreed that on a specific date in the future, they can buy and sell the underlying index according to the size of the stock index determined in advance. As a type of futures trading, stock index futures trading has basically the same characteristics and processes as ordinary commodity futures trading.
Analysis of basis fluctuation of stock index futures
The actual basis and historical basis mainly compare whether the basis of the current contract deviates significantly from the basis of the same maturity month, the same contract month (current contract, next contract, first contract and second contract) and the same remaining duration in history. Hereinafter referred to as the basis difference of comparative historical period.
Because it involves different expiration months, different contract orders and different contract months, we adopt IFYYMM? AALN determines the futures portfolio of each stock index futures. Where IFYYMM stands for contract code, AA stands for contract serial number (0 1, 02 12), and LN stands for current month contract (L 1), next month contract (L2), first quarter contract (L3) and second quarter contract (L4) of stock index futures.
On the basis of the above current combination identification marks, we can get various current combinations. For example, from the first trading day after the contract delivery in February 65438+February, 20 14 to the contract delivery date in February, 20 10/0, 65438+ 10. 0 1L 1、IF 1502？ 0 1L2、IF 1503？ 0 1L3、IF 1506？ 0 1L4. Similarly, for the first trading day after the March contract delivery of 20 14 stock index futures to the April contract delivery date of 20 14 stock index futures, the basis difference identification mark corresponding to the June contract is IF 1406? 04L3 .
After determining the identification mark of the current portfolio, we can compare the difference between the same historical basis and the current basis in the remaining duration. Such as IF 150 1? The historical basis of the same period of 0 1L 1 can be compared with the same if11in the remaining duration. 0 1L 1、IF 120 1？ 0 1L 1、IF 130 1？ 0 1L 1、IF 140 1？ 0 1L 1 .
Without losing generality, we compare the basis of 20 15 delivered stock index futures contracts with the historical basis of 20 13 to 20 14 in the same period, and the data frequency is 1 minute. In the data processing, the data of the contract in the month of delivery date and the data without the same remaining period are excluded. Based on the data of 1 min, calculate the average daily basis difference, 95th percentile and 5th percentile of the current combination of each period. On the basis of daily data, calculate the basis difference average, 95th percentile average and 5th percentile average of each combination in the whole duration. For the historical data of basis difference in recent two years, take the historical data of basis difference from 20 13 to 20 14 in the same period and divide it by 2 to get the target data.