Study On Arbitrage Model Of Stock Index Futures And Programme Design

As the first financial futures, stock index futures not only promotes the level and competitive ability of futures market, also becomes the tool to reduce the system risk and arbitrage for the investors. Stock index futures can bring the non-risk profit for the investor as the new profit pattern which is worth studying.Therefore, researching the arbitrage model of stock index futures has important practical significance.Firstly, in the view of the characteristics of our stock and futures market, considering the original deposit, marketale impact cost, incomplete replicate index, through the method of duplicating index stock cash flow, it developed the our arbitrage model between futures and the corresponding stocks in our country from the forward arbitrage strategy and the reverse arbitrage strategy. At the same time, it made the model to be the procedure under the development environment of .net2.0.Then,under the foundation of analyzing the cross time arbitrage principle and the spread characteristic the article developed the cross-time arbitrage unifying the model arbitrage and the tendency model. First of all, determined the unreasonable price according to the model arbitrage, then finds the trade opportunity using the tendency arbitrage. At the same time, it made the model to be the procedure under the development environment of .net2.0, achieving the goal of real-time arbitrage transaction.Finally, it used the Sep.10,2007 trading data in the Wenhua stock index futures software to test the arbitrage models though my own procedures.The result of between futures and the corresponding stocks arbitrage is that: the arbitrage profit of Jiashi 300LOF is higher than Shanghai 180ETF, but Jiashi 300LOF needs three-day registration system and poor mobility. The result of cross-time arbitrage indicated: the greater the probability of unreasonable spread, the more opportunities for arbitrage.