Research On The Design Ideas Of High-frequency Transaction Model Of Stock Index Futures Based On The Duration Information

The market volatility of stock index futures is the degree of fluctuations of the futureprice caused by information impact. Asset price’s volatility is an effective tool for thecharacterization of the volatility of financial market and risk management. Return on assets isunpredictable, but the volatility of financial market is more predictable. Existing research onthe basic features of volatility has reached some consensus: volatility has characteristics ofconvergence, long memory and leverage effect.The trade in the stock index futures market is random, which caused the no–equidistance of the interval of trading data. And the duration model is put forward to processthe not equidistant data. The paper studies and investigages whether the duration containsinformation or not. If it contains information, how to caculate duration, what effect durationhave on volatility, whether other microstructure variables, such as open interest and volume,play role in volatility and what kinds of above mentioned theory is suitable to be used tointerpret microstructure of Chinese stock index futures markest is ready to be revealed in theessay.Firstly, this paper studies the duration of stock index futures, it’s found that the durationhas significant connection and steadiness, as for characteristics of intraday, price durationpresent double "N" type in the morning and afternoon, the change of open interest duringduration presents "L" type in the morning and inverted "L" type in the afternoon, the changeof volume presents "N" type in the morning and inverted "U" type in the afternoon, thechange of yield rate during unit duration presents "W" type in the morning and "N" type in theafternoon.This paper takes the only financial futures traded products in China, Shanghai andShenzhen300stock index futures, as the research object, takes the price duration to adjust theyield rate, makes not equidistant data equidistant and has a research on stock index futuresmarket’s high frequency and fluctuant characteristics combined with wave model andduration model. Based on what mentioned above, the microstructure variables such as volume, open interest, are used to build the volatility forcast model based on the duration information,to analyze duration, holdings, trading volume and the relation between the price volatility ofstock index futures and the yield rate, and the joint information offered by microscopic factorssuch as duration,inventory is also utilized to improve the accuracy of the forecasting of pricefluctuations in order to strengthen the risk management of futures market. Based on theempirical analysis of high-frequency trading data of Shanghai and Shenzhen300stock indexfutures, results show that the adjustment of yield rate has no significant risk premium, yieldrate is remarkably influenced by duration and the volume during duration, but is notsignificantly affected by the change of open interest. Open interest during duration, thechange of volume and the duration is negatively related to the volatility of price. The resultsalso presents that the information’s effect on price has remarkable leverage effect. TheGARCH effect of the volatility forcast model based on the duration information added inmicroscopic explanation variables is greatly weakened, which demonstrates that the volatilityforcast model based on the duration information could well reflect the essential characteristicsof the aggregation of the high-frequency volatility of the stock index futures and the mainreason for the aggregation of volatility is the change of duration, open interest and volume.