Index Arbitrage Of Modeling And Transaction Implementation Research

Carrying out of futures-cash arbitrage can not leave these three aspects: the theory modeling, the system design as well as the risk distinguishes and controls. The main body of this article is surrounding these three primal problems of futures-cash arbitrage. Based on stock market characteristic of our country, we optimized the arbitrage model by investigating frequency of bonus paid,tracking cost dynamically and discussing the way to construct a appropriate mimic portfolio. And by designing the trading flow and trading system, we also investigated the application of the optimized model.Moreover, aiming at the problem of real-time monitoring and batch trading, this article gives the solution by push technology,distributed technology and optimized batch trading .These means give us a total solution of how to carry out a successful futures-cash arbitrage.In article final, this article also gives a classified discussion aiming in the risk of trading process, and gave us a way to distinguish and against these risks.