A Demonstration Research Of Stock On Hand Setup And Arbitrage

Following by the establishment and development of global, international business environment, securities business plays more and more important role. As brand new product, Storck Index Futures attract big attention. This article does a demonstration research of Stock Index Futures' list price model and arbitrage.Arbitrage has 4 kinds: Across city arbitrage, Across period arbitrage, Across a type of arbitrage and expect now arbitrage.Expect now arbitrage is the arbitrage type which simulate investment mixture between Stock Index Futures and Stock on hand, this is the apt type to arbitrage in domestic stock market. The essential of arbitration research is to study how to price properly. So far the research of list price model is from two sides, one is cost of carry model, the other is anticipate theory, and the former is more universal. Actual price of stock index futures always departure from it's nominal price, because cost of carry model is based on perfect market environment, the difference is called mispricing. So whether the opportunity of arbitrage existing or not and it's space is related to mispricing's frequency and range. To lead mispricing have so many reasons, the main is because the warp to model due to market's non-perfect.This article is base on cost of carry model, analyze the factors of mispricing, to conclude the list price model under non-perfect market, and bring the stock on hand misture blue print which simulate stock index futures. At last, according to the conclustion, to vefify the arbitrage opportunity in domestic market.