Research On CSI300Index Futures Arbitrage Trading

CSI300index futures has brought a new revolution to the Chinese capital securities market, changing "buy first" investment, and can be carried out by arbitrage transactions with the stock, which can obtain a steady and low risk income. Arbitrage trading, which occupies a pivotal position in the stock index futures, is a major concern by investors. Therefore, it has great practical significance to study the CSI300index futures arbitrage transactions and their associated risk control.Stock index futures spread arbitrage need to predict the future trend of the different maturity contracts to establish arbitrage positions, the subjective expected factors play an important role in the intertemporal arbitrage transactions, and bring a greater risk for the spread arbitrage. Cointegration test which enters the trading postoin based on a quantitative model and rational strategy, can find the long-run equilibrium relationship between the variables. It abandons the traditional high-risk ideas which predict the derection of the spread changes, reducing the risk while gaining a stable trading revenue. There is a long-term equilibrium relationship between prices of the same index furtures contracts or the related index futures contracts. There is irrational spread of short-term fluctuations in addition to the spread of the contracts in accordance with the cost of carry factors. The paper constructs a dynamic range of arbitrage by a high-frequency-data-driven method, which use the moving average instead of static average. It can discover the irrational fluctuations timely and accurately in this way, which provides a new way of high-frequency cross-arbitrage for investors.In chapter1, the paper gives an overview of the background and significance of the research, and introduces the method of the study on the basis of the research status at home and abroad.In chapter2, it introduces the CSI300Index and the CSI300index futures, and summarized the development of them, as well as the status of the CSI300index futures arbitrage.In chapter3, several arbitrage transaction types which are internationally used has been discussed from the theoretical and practical aspects. The principle, methods and profit and loss of intertemporal arbitrage, cross-market arbitrage and butterfly arbitrage has been introduced in detail. In chapter4, the paper gives a detail analysis of high frequency intertemporal arbitrage by programmatic method, which use CTP real-time high-frequency data and based on the CTP platform by Shangqi technology. Cointegration analysis of the time series analysis in statistical arbitrage model has been introduced into the intertemporal arbitrage strategy research. The paper gives empirical analysis of intertemporal arbitrage using IF1109contract and IF1110contract.At last, the sources of the risk in arbitrage trading of stock index futures have been classified and detailly analysised, and corresponding risk control methods and recommendations have also been introduced in detail.