Strategy Analysis on Inter-temporal Arbitrage of Iron Ore Futures

投资者参与期货交易在享受丰厚回报的同时，也承担着高杠杆率所带来的巨大的潜在风险。因此，如何找到一种风险相对较低、收益相对可观的投资方式，对于长期参与期货交易的投资者而言至关重要，而套利交易恰恰能够满足投资者的这类需求。在套利交易的四种类型中，跨期套利相较于另外三种类型——期现套利、跨商品套利和跨市套利而言，具有风险更低、周期更短和流程更简便的优势，因此受到越来越多的稳健型投资者的青睐。 由于期货市场背后的参与者是个体人，因此很难长期维持有效性，阶段性的“无效”使同种商品不同月份的期货合约间的价差发生变动，为投资者提供了参与其中的机会。然而，两合约间的价差变动规律并非表面看的那么简单，跨期套利...When participating in futures trading in lucrative return, investors also bear the huge potential risks brought by highly leverage. Therefore, how to find a kind of tool with relatively low risk and high return is crucial for long-term futures investors, and arbitrage just can satisfy investors' needing. In four types of arbitrage, inter-temporal arbitrage compared with the other three types - tim...学位：金融硕士院系专业：经济学院_金融硕士学号：1562014115205

The Design and Implementation of Graded Fund Arbitrage Trading Assistant System

随着我国资本市场的迅速发展，在沪、深两个交易所上市的分级基金也备受投资者关注。近年来出现的分级基金，是我国资本市场的一种新鲜事物，且由于我国资本市场正处于起步与转型阶段，市场参与者知识水平与投资技能参差不齐，市场总体还远未达到有效市场的水平，因此市场中仍然存在着许多无风险或低风险的套利机会，投资者通过套利交易可以获得一定的超额利润，分级基金的套利交易就是一个例证。现有的套利交易系统由于开发、维护成本较高，只有大型机构投资者才能够负担，个人投资者或小型机构难以获取，往往只能采用人工方式进行套利交易，但人工方式套利具有效率低、失误率高、难以及时把握套利机会等固有缺陷。 本文结合当前资本市场的发展...With the continuous progress of China's capital market, graded fund listed on Shanghai, Shenzhen Stock Exchange has also attracted investors’ attention. graded fund emerging in recent years is a new thing in China's capital market. As China's capital market is in its infancy and transformation stage,the level of knowledge and investment skills of market participants are uneven.Market is far from r...学位：工程硕士院系专业：软件学院_工程硕士(软件工程)学号：X201323209

Property Taxation in the People\u27s Republic of China

A property tax is a general tax imposed on all property owners based on the value of their properties. Property taxation is common throughout the world due to its numerous advantages. It is regarded as a steady source of local government revenue. The property taxation system in the People’s Republic of China (PRC) is still developing and does not include important features that would make it efficient. For instance, residential property is excluded from the tax base. This has contributed to real estate speculation, income disparity, and revenue losses. A well-functioning local property tax system in the PRC would provide an efficient, equitable and sustainable way to finance local development and government spending. By helping to align expenditure responsibilities with revenue allocations at the local level, property taxation could reduce inequality in the provision of public goods and foster local government ability to provide them. Further, it will reduce the incentive for speculative behavior mitigating housing bubbles. To further develop property taxation in the PRC it is recommended to gradually strengthen and expand the existing pilots, supported by clear principles on the delegation of taxation responsibilities, the definition of a nationally standardized tax base, an affordable tax rate, and enhanced local government capacity

Statistical Arbitrage Strategy Analysis of Cross Variety in Commodity Futures

近年来，我国经济不断发展，金融市场环境也不断改善，使得国内商品期货市场发展迅速，引起了全世界的广泛关注。同时，此次股市剧烈波动中，国内期货市场运行正常，并拟推出期货新品种——期权期货，这进一步表明我国已经拥有比较完善的期货市场环境及健全的期货交易体制。然而即使在这种情况下仍然无法避免期货交易中所存在的各种风险，主要包括经济全球化和期货交易本身所具有的金融风险，以及期货投资者投资失误所带来的风险等。所以，如何在获取较为稳定的收益的同时控制期货交易的风险，成为期货投资者们所关注的问题。 统计套利策略是一种基于市场中性假设的具有较低风险的交易策略。该策略主要是通过两方面来减少交易风险：首先，统计套...In recent years, with the continuously rapid development of the Chinese economy and gradual improvement of the capital market environment, the domestic commodity futures market’s rapidly develop and then receives much attention from investors all over the word. On the meanwhile, in this financial crisis, domestic futures market operated normally, and rolled out a new variety of futures-options. Th...学位：经济学硕士院系专业：经济学院_统计学学号：1542013115202

Research on supporting measures of equity issuance registration system reform

党的十八届三中全会指出：“推进股票发行注册制改革，多渠道推动股权融资”。为落实全会决定，证监会出台了《关于进一步推行新股发行体制改革的意见》，提出了加快实现监管转型，发挥市场决定性作用的目标，为注册制改革打下良好基础。 然而，由于我国证券市场起步晚，虽然发展较快但与西方发达证券市场相比还很不成熟。同时，由于在较长时间内都实行股票发行的政府核准制，各项证券市场的配套措施大多还没有完全达到注册制的要求。因此，加快完善注册制的各项配套制度势在必行。 本文首先对当前我国进行注册制改革所面临基本市场情况进行了分析，提出了要使注册制改革得以顺利推进，必须跟进相应的配套制度，同时总结了我国证券发行配套制...The third Plenary Session of the 18th Central Committee of the CPC proposed “to promote equity issuance registration system reform; to promote equity financing with multi- approaches”． In order to implement the decision,China Securities Regulatory Commission issued " Opinions on the Further Implementation of IPO Reform "．CSRC proposed to speed up the transition of government regulation and let m...学位：金融硕士院系专业：经济学院_金融硕士学号：1562013115214

Analysis of the investment value and the factors affecting discount premium of Classification funds

分级基金作为一种创新的结构化产品，其投资门槛低，满足了广大普通投资者进行杠杆投资的投资需求。随着2014年6月牛市行情的到来，分级基金的规模和数量也快速增长，已被广大投资者所接触，但对分级基金仍缺乏足够认识，对分级基金的业务规则更是了解甚少，不少投资者在分级基金触发下折时仍大量买入分级B份额，造成巨大损失；国内有不少文献也对分级基金业务规则进行过介绍，但不够具体和系统，中间有不少规则介绍与现有规则存在偏差。 首先本文对分级基金的业务规则做了系统的研究分析，并将上海分级基金与深圳分级基金做了详细的比较；其次结合分级基金的业务规则，深入剖析了分级基金的价值，研究了分级A类份额与分级B类份额的价值...As an innovative structured product, the investment threshold is low, and it meets the demand of the general investors to make the investment. With the arrival of the bull market in June 2014, the scale of the fund is growing rapidly, as well as the number. It has been known by the majority of investors, but still lack of some knowledge to understand the classification fund. Many investors still b...学位：金融硕士院系专业：经济学院_金融硕士学号：1562013115214

Hedging Effectiveness and Comparison of Stock Index Futures in China

股指期货作为一种套期保值的工具，通常被投资者用来规避现货市场中的系统性风险。然而，2015年下半年的股灾，关于股指期货的一系列管控措施陆续实施，股指期货却被认为是做空股市，造成大盘持续杀跌的导火索。全面客观地阐述股指期货在我国金融市场的发展情况，剖析比较股指期货的套期保值效果，对于促进我国资本市场的平稳健康发展有着重要意义。 本文以最大程度发挥股指期货的规避风险的功能为前提，运用不同的套期保值比率估计模型对目前在我国上市交易的股指期货进行实证分析和比较。分别选取沪深300指数期货（IF）、上证50指数期货（IH）以及中证500指数期货（IC）作为期货头寸，选择具有代表性的股价指数和ETF作为...As one of the hedging tools, stock index futures are used by investors to avoid systematic risk in spot market. However, in the second half of 2015, the stock market crash happened in China. Stock index futures were regard as the important reason of this crash. Therefore, having a more comprehensive and objective understanding of stock index futures in China is meaningful and valuable to the stabl...学位：金融硕士院系专业：王亚南经济研究院_金融硕士学号：2772013115280

ナンキン コクミン セイフキ ウチモンゴル コウトウ チク ニ オケル トチ カイハツ

大阪大學中國文化論壇 討論文件Discussion Papers in Contemporary China Studies, Osaka University Forum on China張雯:訳 / (trans.:ZHANG Wen

Factor Analysis of high frequent mispricing of CSI

研究股指期货的定价偏差对投资者进行期现套利和套期保值具有重要意义。本文采用经典的持有成本定价模型和考虑了交易成本、税金和股指期货交易保证金等因素下的无套利定价区间模型来计算沪深300股指期货主力合约5min定价偏差，并研究沪深300股指期货5min定价偏差的持续性特征以及期货市场持仓量、到期期限、期现货市场成交量、期现货市场高频跳跃价差和两市场的波动率这七个因素对沪深300股指期货定价偏差的影响。本文将现货市场和期货市场的高频价格跳跃引入股指期货定价偏差的影响研究，并创新性的提出了期现跳跃价差对股指期货定价偏差的影响；此外，本文将HAR模型应用于日内数据研究股指期货定价偏差的持续性，并在HAR...Study of stock index futures mispricing plays an important role on arbitrage and hedging. This paper uses the classical Cost-Carry model and the No-Arbitrage Pricing Interval Model considering transaction cost, cash deposit and other factors to calculate the theoretical price of futures related to CSI300 and further its mispricing. Further more, this paper studies the persistence of mispricing of ...学位：经济学硕士院系专业：经济学院_国民经济学学号：1542012115187

Extended Dynamic Nelson-Siegel Model with Human Factor and Its Application in Predicting Exchange Rate

随着越来越多的发达国家步入人口老龄化社会，学者们愈发关注人口结构与资产价格的关系（如利率和人口结构之间的关系）。依据人口结构变化能够显著影响利率的理论基础，本文从统计模型的角度提出了基于人口因子的动态Nelson-Siegel扩展模型，并对美国、加拿大等几个国家的国债收益率曲线进行建模，比较两模型的样本内拟合的RMSE和MAE及模型在递归预测和滚动预测下的样本外预测能力。与原始动态Nelson-Siegel模型比较，该模型在样本内拟合效果和样本外预测效果均占优于原始模型，且基于人口因子的动态Nelson-Siegel扩展模型对长期利率的拟合效果较好，这可能与人口因子主要影响利率的长期趋势有关。...As more and more developed countries go into the aging society, scholars pay more attention on the relationship between population age structure and asset prices such as interest rates. According to the theoretical basis that population structure can significantly affect the change of interest rate, we extend the dynamic Nelson - Siegel model with human factor. We use the Treasury yield curve da...学位：应用统计硕士院系专业：王亚南经济研究院_应用统计硕士学号：2772013115282