Research on the Price of Stock Index Futures with ARIMA Model

被引：0

作者：

Cong, Shan-shan ^{[1
]}

Liu, Jia-peng ^{[1
]}

Liu, Jie ^{[1
]}

Zhao, Xiao-li ^{[1
]}

机构：

[1] China Jiliang Univ, Sch Econ & Management, Hangzhou, Zhejiang, Peoples R China

来源：

JOINT 2016 INTERNATIONAL CONFERENCE ON ECONOMICS AND MANAGEMENT ENGINEERING (ICEME 2016) AND INTERNATIONAL CONFERENCE ON ECONOMICS AND BUSINESS MANAGEMENT (EBM 2016) | 2016年

关键词：

Stock index futures; ARIMA model; Price forecast; Simulation trading;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

On April16, 2010 Chinese first stock index futures listed in China Financial Futures Exchange Traded. It means that, Chinese financial markets ushered in the era of short. Stock index futures have become the focus of the vast majority investors. This paper focus on the price fluctuation of stock index futures since it appears on the market. Through the collection of the CSI 300 index futures closing prices, with data processing and analysis to establishment of ARIMA model. According to the model, the price of stock index futures is forecasted, and then simulating trading based on the predicted results, Simulation results show the accuracy of ARIMA model prediction. The results provide a reference for investors to provide a reference for investment activities.

引用

页码：149 / 156

页数：8

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