金融工程日报：市场缩量下行，芯片板块跌幅较大

Quantitative Models and Construction Methods 1. Model Name: ETF Premium and Discount Model - Model Construction Idea: This model aims to reflect investor sentiment by analyzing the premium and discount of ETFs traded on the exchange compared to their off-exchange prices[23]. - Model Construction Process: - Calculate the premium or discount for each ETF as follows: $\text{Premium/Discount} = \frac{\text{ETF Trading Price} - \text{NAV}}{\text{NAV}}$ where NAV represents the Net Asset Value of the ETF[23]. - Model Evaluation: This model effectively captures the sentiment of investors by showing the difference between the trading price and the NAV of ETFs[23]. 2. Model Name: Block Trade Discount Model - Model Construction Idea: This model assesses the investment preferences and sentiment of large investors by analyzing the discount rates of block trades[26]. - Model Construction Process: - Calculate the discount rate for block trades using the formula: $\text{Discount Rate} = \frac{\text{Block Trade Total Transaction Amount}}{\text{Total Market Value of Traded Shares}} - 1$ - Analyze the daily block trade transaction amounts and discount rates[26]. - Model Evaluation: This model provides insights into the investment behavior and sentiment of large investors by examining the discount rates of block trades[26]. 3. Model Name: Stock Index Futures Basis Model - Model Construction Idea: This model evaluates the cost of hedging and market expectations by analyzing the basis (difference) between stock index futures and spot prices[28]. - Model Construction Process: - Calculate the annualized basis rate using the formula: $\text{Annualized Basis Rate} = \frac{\text{Basis}}{\text{Index Price}} \times \left(\frac{250}{\text{Remaining Trading Days}}\right)$ where Basis is the difference between the futures price and the spot price[28]. - Model Evaluation: This model helps in understanding the cost of hedging and market expectations by analyzing the basis between futures and spot prices[28]. Model Backtesting Results ETF Premium and Discount Model - Highest Premium ETF: China Securities A100 ETF, Premium 8.74%[23] - Highest Discount ETF: 2000 Enhanced ETF, Discount 1.50%[23] Block Trade Discount Model - Daily Block Trade Transaction Amount: 25 billion CNY on 2024-10-10[26] - Average Discount Rate: 3.58% on 2024-10-10[26] Stock Index Futures Basis Model - Annualized Basis Rate for SSE 50 Futures: 16.06% on 2024-10-11[28] - Annualized Basis Rate for CSI 300 Futures: 22.17% on 2024-10-11[28] - Annualized Basis Rate for CSI 500 Futures: 12.97% on 2024-10-11[28] - Annualized Basis Rate for CSI 1000 Futures: 5.76% on 2024-10-11[28]