Applications of Ensemble Empirical Mode Decomposition to Stock-Futures Basis Analysis

摘要：

In rational,efficiently functioning markets,the returns on stock index and stock index futures contracts should be perfectly,contemporaneously correlated.But in the first two month,Chinese stock index futures contracts exhibited persistent departures from fair price,offering potentially profitable arbitrage opportunities.In this paper,we examine the stock-futures basis of (SI 300 recorded every 5 min over the period from April 16,2010 to June 10,2010 (1872 total data points).Ensemble Empirical mode decomposition (EEMD) is a timefrequency analysis method which has been developed and widely used for non-stationary and non-linear time series analysis.In the present study,we apply the EE.VID to analyze the stock-futures basis series.As a result,we extract a monotonic decreasing trends from the series which implies the market becomes more and more efficient.

关键词： financial time series non-stationary ensemble empirical mode decomposition stock index futures

作者: Jingliang Sun Huanye Sheng

作者单位: Department of Computer Science and Technology Shanghai Jiao Tong University Shanghai 200240 China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 396-399

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）