The Nonlinear And Mean-reversion Characteristics Of Stock Index Futures In Simulation Trading Market

Efficient market theory occupies a dominant position in modern finance, the vast majority of the finance research in the field, especially in securities analysis, has been established in this theory and its basic application . Traditional financial theory is based on a linear thinking, it is assumed that yield sequence is a process of I.I.D. But in recent years, efficient market theory has been accepted more and more challenges in the theory and empirical testing. Research on financial markets is not the price of assets, and is focused on the yield of the financial assets. The non-linear and mean-reversion characteristics of the sequence of yield is the great challenges of effective market theory and random walk theory.At the same time, financial markets time-series modeling, attempt to explain financial intrinsic relationship in the financial markets time series by econometric models, has always been the hot topics of economics and econometric studies. Since the 1980s, people has found that a lot of experience is contrary to the linear experience of the fact, anf a growing number of studies show that the yield of financial assets yield to the non-linear relationship with time series, linear time series models of financial assets yield have been unable to complete the portrait of distribution on the time series of financial return. Since the 1990s, non-linear time series modeling of the yield on financial assets has been a great success. Before the non-linear model is described the financial assets yield time series, we have to solve whether the linear model can describe the yield time series of financial assets? The yield time series of Financial assets is in the existence of non-linear features?Stock index futures is a new derivative, it's theory also needs further improvement. In China, there are no real exchange of stock index futures, and he simulate exchange of Hushen 300 index futures has been run, so the research of the theoretical aspects is essential. This article is directed against the yield data of stock index futures in simulation market.Our paper consists of five parts. In the first part, we introduce the significance, background and actuality of research on stock index futures in simulation market; In the second part, we introduce the knowledge of stock index futures; In the third part, we summarize and sort the classic theory of the existing and emerging theory on the basic of reading lots of literatures; In the fourth part, we give the mothod of nonlinear test and theory of mear-reversion, and introduce the STAR model used by researching on mean-reversion; in the fifth part, we do an empirical resreach on stock index futures with simulation data in simulation market and test some conclusions above. In the last part we conclude this paper and point out the innovation and disadvantage of this article.