Title :
Notice of Retraction
The Research about Shanghai and Shenzhen Stock 300 Index Futures Simulation Trading Based on VaR Measurement
Author :
Huang Dechun ; Guo Hongxiang ; Zhang Haochi
Author_Institution :
Bus. Sch., Hohai Univ., Nanjing, China
Abstract :
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Stock index futures products will soon be launched in China, its trading risk-control measure become a serious problem. In this paper, the VaR risk measurement is used for the empirical analysis of the Shanghai and Shenzhen stock 300 index futures simulation trading. In the light of Japan´s Nikkei stock index futures, the risk status of stock index futures in China as well as the similarities and differences of the two countries´ risk status of stock index futures is studied. In addition, the study also uses the back test to study the effect of VaR measurement application in the stock index futures risk.
Keywords :
commodity trading; investment; risk management; VaR measurement; futures simulation trading; risk measurement; stock 300 index futures; value at risk; Analytical models; Books; Educational institutions; Forward contracts; Portfolios; Reactive power; Risk analysis; Risk management; Security; Testing;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
DOI :
10.1109/ICMSS.2009.5301353
