Analysis of CSI 300 Stock Index Futures Price Trend Based on ARIMA Model

YA-TING ZHANG, BO SUN

Abstract


Stock index futures has become the major tools for investors to avoid risk or make speculative arbitrage. However, the leverage of stock index futures is large. If they cannot make a correct judgment on the trend of stock index futures, the loss will be great. This paper is based on this background and engages in intensive study. Using traditional and modern econometric methods respectively, the CSI 300 index futures were fitted. In addition, RMSE (root mean square error) was used to find the optimal model. After finding the model, we can put the trading strategy forward.

Keywords


ARIMA model, Index futures, Forecast.


DOI
10.12783/dtssehs/seme2017/18022

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