An Empirical Analysis Of The Arbitrage Trategy Made By Southwest Securities’ Inovative Business Department

This thesis discusses the traditional arbitrage strategy of the stock index futures,and introduces the theory and application of space about traditional arbitrage strategy ofthe stock index futures, and then starts the empirical analysis on those arbitrage strategy.The innovative arbitrage strategy of the stock index futures is designed based ontraditional arbitrage strategy, and combined with the internship experience at SouthwestSecurities and Statistical theory. The thesis makes a detailed introduction of the idea,arbitrage process and empirical analysis on the innovative arbitrage strategy, anddemonstrates the effectiveness of the innovative arbitrage strategy theoretically andpractically. The innovative arbitrage strategy has more room for development than thetraditional arbitrage strategy. With the development of the finance market, the moreinnovative financial instruments being developed, there will be more arbitrage chances.The innovative arbitrage strategy is very potential in the stock market. During my internperiod and in the process of thesis writing, I made a profit from the measurement of thetraditional strategies and innovative arbitrage. These strategies should be prompted forthe investors.The thesis also introduces the design and development of the Program tradingplatform, especially making a detailed introduction of the design of the Program tradingplatform. Program trading will be one of the developing trend of China’s financemarket.