Summary:
In this work, we continue our work about time series of yield difference of indices. Since last work result we decide to turn our focus on the yield difference between SSE50 and CSI...
Summary
In this work, we observe yield differences of indices and whether they could be predicted by time series generated by themselves. We find that it possible to get significantly positive payoff ...
The strategies of investing Private Funds in the second quarter of year 2018
Private fund stock strategies: A share market showed some sign of stabilization after the slump in Q1 and it could offer...
Remove ST stocks and stocks with daily turnover lower than 10 million, hold 28 stocks based on the factor selection, and the rebalance period is 20 trading days.
The data show that the...
For there’s obvious collinearity between CSI300 and SSE50, the coefficients are in a two dimensional united distribution, which formed a curved surface with the residual sum of squares.
In the ...
1. China Equity Markets—Overview
Stocks Listed& Market Cap since 1990
2. Two Stock Exchanges—Shanghai and Shenzhen
1) Date Established:
Shanghai Stock Exchange:
1990.12
Shenzhen Stock Ex...
Market
overview:
Valuation
for stock index + performance of listed companies+ money market
liquidity.
Valuation:
CSI300
index rise 7~8% this year,about the same to the g...
Summary:
1. Too faster IPO approval
2. Tighten regulation on speculation over sub-new stocks and stocks proposing high share conversion and dividend
3. Increasing supervision on idle funds li...
Steps:
Ⅰ.estimate the model coefficients
Ⅱ.build a strategy with a stable expected return
Ⅰ.Estimate the model coefficients
We set the data range from 2015/4/16—2016/8/26 to run the regression...
We set the data range from 2015/4/16—2016/8/26 to run the regression.
The independent variables for CSI300 and SSE50 are named as x and y respectively. The dependable variable A50 is named as z. Each...
Strategy Update:
1) The latest run result as followed:
Last PL: 2910213
Biggest drawDown: -498050.6
Total buy(times): 15
Total sell(times): 5
Max Margin: 4434984
max bu...
The data is from Aug 16, 2015 to Aug26, 2016
1. CSI300 vs SSE50
The
contract multiplier for CSI300 is CNY 300, the contract multiplier for SSE50 is
also CNY300, so:
Can
do the li...
The data is from Apr 16, 2010 to Aug 26, 2016
1. CSI300 vs A50
1)
Transform:
The contract multiplier for CSI300 is CNY 300,
the contract multiplier for A50 is U...
New
indicator to analyze the arbitrage opportunities between sse50 and csi500
The
data: the daily closed prices of sse50 and csi500 since April 16th,2015
rt<-read.table("...
“History is a nightmare from which I am trying wake.” – James Joyce, “Ulysses”Summary: The destruction of margin trades and the path of a subsequent global volatility spill via a depreciating RMB dist...