Stock Index Futures Intertemporal Arbitrage Research Using High Frequency Quantitative Trading Data Of CSI300

Stock index futures in foreign countries has nearly30years, the first stock indexfuture in China mainland’s-CSI300stock index futures was released not until April16,2010. Although only two year’s history, it develops rapidly. Currently, people use itmainly in arbitrage and hedge. This paper mainly focue the spread arbitrary, which is akind of arbitrage,with CSI300stock index futures.The paper selects the real data in the CSI300stock index future market, use thetwo main model in spread arbitrary field, which is cost of carry and cointegration theory,condusts theoretical and empirical analysis. We use high-frequency data, five minutetransanction price inthe paper, because high-frequency data is good at find theopportunity of spreadarbitrary.In the research of cost of carry, the paper give a proper value to every parameter inthe model arccording to the Chinese markets. As to the data this paper used, cost ofcarry model work well, it can spot many good opportunity of spreadarbitrary.In cointegration theory, the paper use the same data and conduct empirical analysis, findthat compare to cost of carry model, it can spot many opportunities, nearl two times ofcost of carry model. According to the contrast of two models, we can get the conclusionthat cointegration theory can spot some small opportunities of spreadarbitrary. Besides,this paper give a little advancement to the cointegration theory, which is building theARMA model to equilibrium error, and the equilibrium error can be seen as price spread.We can use the prediction function of ARMA model to forecast the trend in next time ofspread, which give some reference to investors.