Research On The Application Of ETF Arbitrage Method Based On High Frequency Data

After the launch of stock index futures and margin trading in China, for institutional investors, it fill the lack of short selling and margin trading functionality gaps of China's stock market,and provide them a new option with asset allocation and risk management; for ordinary investors, it is the wealth of investment tools to provide the conditions for carry trades.Statistical arbitrage strategy is a widely trading strategies used by foreign investment in hedge funds, This article capture arbitrage opportunities by statistical arbitrage between China's stock market and future markets, and test possibility of arbitrage between the stock index futures and ETF by using statistical arbitrage strategy.First, by arbitrage in the spot of the object is selected to determine the selected ETF for stock index futures arbitrage strategy; for stock index futures contracts, select the month contract for the study. After the average daily trading volume, respectively, tracking error, correlation of four ETF Funds are analyzed, we choose 50ETF and 180ETF with good fluidity for our study. The five-minute high-frequency data as a research object are selected, we establish the cost and impact fees, construct the arbitrage signaling mechanism and build arbitrage trading portfolio. Second, cointegration theory is used to test 50ETF and IF,180ETF and IF existing Long-run equilibrium relationship, and Establish cointegration coefficient as a pair of statistical arbitrage trading coefficients. At last, arbitrage transactions by identifying optimal trigger point with maximizing the return on the carry trade are expected. In order to control risk, we establish the upper and lower boundaries to stop loss using VaR, and construct the optimal statistical arbitrage strategy. For the data in the sample and out of the sample, the optimal statistical arbitrage strategies are used to carry out imulating trade, and to test the feasibility of arbitrage trading strategies.Empirical analysis shows that statistical arbitrage can capture the arbitrage opportunities between the stock market and the future market. The statistical arbitrage strategy can obtain considerable profits,180ETF and stock index futures have more arbitrage opportunities than 50ETF and stock index futures and confirm the earlier deduce of the analyzing average daily trading volume, respectively, tracking error, and correlation of four ETF Funds. Since the stock index futures contracts are traded, there is a certain period of arbitrage opportunities with a decreasing trend, which are in accordance with international experience and brokerage reports.