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("...
CFFEX: Since April 5th, 2017, for CSI300,SSE50 and CSI500, the maximum size of one limit order lowered to 20 lots from 100 lots before and the maximum size of one market order lowered to 10 lots from ...
“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...