Title :
Notice of Retraction
Research on CSI 300 index futures arbitrage
Author :
Luo, Xin ; Zhang, Pei-ai
Author_Institution :
Department of Mathematics, Jinan University, Guangzhou, P.R. China
Abstract :
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Stock index futures is a innovative product result from the combination of stock market futures and securities markets, and the arbitrage function of stock index futures is an important factor to promote market operation efficiency. This paper explains the operation of stock index futures arbitrage, introduces several common methods to build stock portfolio and calculates arbitrage-free interval of stock index futures based on the cost of carry model. Finally according to the actual situation of securities market, discusses CSI300 index futures arbitrage with the simulation of Harvest 300 Fund, which has a certain reference value for investors.
Keywords :
Indexes; Mathematics; Pricing; Security; Stock markets; CSI300 index; Stock index futurest; arbitrage; arbitrage-free interval;
Conference_Titel :
E -Business and E -Government (ICEE), 2011 International Conference on
Conference_Location :
Shanghai, China
Print_ISBN :
978-1-4244-8691-5
DOI :
10.1109/ICEBEG.2011.5886893
