The Stock Index Futures Arbitrage Based On Co-integration Rule

Index future is a kind of finance futures, which is the futures of the stock index. It is the business that both sides is based on one kind of normalizing agreement arranging in advance. It is the inevitable result when the capital market develops arriving at the certain stage. It has the functions to find price, hedge portfolio, risk management and assets allocation, it is also playing fine role to the development of capital market.There already have some relevant documents to study the arbitrage of the stock index future based on statistical arbitrage abroad, but the domestic studies on stock index futures still remain mainly in the field of characters describing and the analysis of the spread space, but this method has the flaw that the earning ratio is not easily be confirmed.The index future of Hu Shen 300 will be listed before long, and there has simulating trading now. There are some papers to indicate that statistical arbitrage strategy model on co-integration can find some arbitrage space in index future. We test the validity and efficiency of statistical arbitrage strategy model on co-integration by the simulating trading data, and the result is to indicate that there also has arbitrage space in index futures at home.The innovation in this paper lies in two points. First, we change the technology of spot simulation in the arbitrage, using the portfolio of the ETF funds. The second, we use the pair trading technology based on the co-integration rule to do the calendar spread arbitrage, not the technology of the spread space.