我国股指期货监控模式研究

Research on Monitoring Patten of Stock Index Futures in China

中文关键词:  股指期货  监控  操纵

英文关键词:commercial banks  OTC market  derivatives operation  liquidity

中文摘要:

      在我国股指期货推出之际,对股指期货操纵行为的监管研究也日益显得重要,根据股指期货交易数据的噪声性、隐周期性、二重性、多粒度性和实体差异性,我们建立了基于数据挖掘的股指期货“数据—方法—指标”的监控方法,并给出了加强体制和制度创新的建议。

英文摘要:

      On the point of issuing stock index futures in China market, the research on monitoring the manipulation behaviors of stock index futures becomes increasingly important. According to inherent noising, implicit periodicity, duality, multi-granularity and entity difference in the trading data of stock index futures, a "data-method-index" monitoring model has been established for stock index futures based on data mining. Moreover, this paper gives some suggestions on how to strengthen and innovate the monitoring system.