Optimization of Non-arbitrage Interval Pricing Model of Stock Index Futures and Arbitrage Analysis of SCI 300 in the Context of COVID-19

DOI

10.2991/978-94-6463-052-7_22How to use a DOI?

Keywords

COVID-19; CSI 300; Non-arbitrage interval; Investor sentiment

Abstract

Stock index futures are important investment assets for small and medium investors. Under the impact of the COVID-19, the stock index futures market has been seriously impacted. The traditional non-arbitrage interval model of stock index futures has also been affected, and the pricing efficiency has been reduced. This paper introduces investor sentiment variables to improve the non-arbitrage interval pricing model under the background of the COVID-19, which improves the pricing accuracy by 30.05% and reduces the profit margin of single arbitrage. Based on the above research, this paper puts forward some suggestions for small and medium-sized investors’ investment decisions in stock index futures.

Copyright

© 2022 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Yihan Xu
PY  - 2022
DA  - 2022/12/27
TI  - Optimization of Non-arbitrage Interval Pricing Model of Stock Index Futures and Arbitrage Analysis of SCI 300 in the Context of COVID-19
BT  - Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
PB  - Atlantis Press
SP  - 182
EP  - 190
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-052-7_22
DO  - 10.2991/978-94-6463-052-7_22
ID  - Xu2022
ER  -