本文对即将推出的沪深300股指期货的保证金制度进行了研究,在“分形市场”假说的基础上得出了合适的保证金水平,为股指期货的风险管理奠定了基础。我们对沪深300指数进行了R/S分析,发现该指数具有分形结构,收益率服从分数布朗运动;并通过蒙特卡罗模拟,给出了度量股指期货市场风险的一种VaR方法,为股指期货保证金的设计提供了参考。 This paper studies the upcoming deposit system of Shanghai and Shenzhen 300 stock index futures, draws a suitable margin level on the basis of “fractal market ” hypothesis, which lays the foundation for the risk management of stock index futures. We conducted a R / S analysis on the Shanghai-Shenzhen 300 Index and found that the index has a fractal structure and yields follow the fractional Brownian motion. A Monte Carlo simulation gives a VaR method to measure the risk of the stock index futures market. Futures margin design provides a reference.