Based On The Csi 300 Index Prediction And Arima Model Period Now Research Of Arbitrage

The underlying index of stock index futures is the Shanghai and Shenzhen300Index, which represents the overall trend of Chinese stock market and is focused on the representative of a variety of stocks. Individual stock prices have limited reaction to the market index. Therefore, in order to research stock price volatility using technology, CSI300Index is more appropriate study object. Accordingly, it is also instructive for the portfolio or fund investment operations and agencies. In particular, it has Guidance on the role of stock index futures.Therefore, we use ARIMA time series analysis model to predict CSI300Index, which is a useful reference for the company and investors when making related decisions. In this paper, we build ARIMA model using the date from May7,2010to February22,2013. We also verify the prediction effect of this model.We can use ETF Fund to replicate the CSI300Index, then establish arbitrage interval of stock index futures, this method is very common in market. In this paper, there is an empirical analysis of arbitrage, and the analysis of the effect.