Design And Research Of The Securitization Program Trading Model

With the development of computer technology and the continuous innovation of financial market, program trading has become an important investment method. The design and construction of a stable program trading system can not only capture arbitrage opportunities, increase arbitrage profits, but also can promote the standardization and systematization of investment activities. In this paper, based on the Shanghai and Shenzhen 300 index futures arbitrage investment, using the optimization method to build a portfolio to meet the requirements of the stock portfolio and verify the stock. To optimize the construction method as the core model, the design of a set of securitization transaction system.Firstly, this paper introduces the development and research of the securitization transaction, and points out that the securitization transaction investment method is better than the traditional investment method, and it is in line with the development trend of modern financial market. Then this paper takes the Shanghai and Shenzhen 300 index futures period as the research objective, the research period is the composition of the spot portfolio. The stock spot portfolio can use optimal method to construct. It is good operability and low error. In Shanghai and Shenzhen 300 stock index futures arbitrage investment, when required to construct the stocks spot portfolio contains small kinds of constituent stocks, increase the diversity of the stocks, helps to reduce arbitrage tracking error; at the same time, the method of equal weight allocation constructed the stock spot portfolio is superior to the method of ratio weight allocation, to reduce the arbitrage tracking error and reduce the risk of arbitrage investment. At last, through the method and conclusion of the previous research, we design a complete set of functional index futures trading system.