Design Of Arbitrage Strategy Based On Stock Index Futures

Since the CSI300index futures arbitrage, the vast number of investors of our countryhave paid more and more attention on stock index futures. This paper mainly studies thestock index futures arbitrage strategy,for this reason, and full-text focus on proceduralstrategy of arbitrage design,then the full text of the main innovation is to build a stockportfolio tracking CSI300Index.Different from Genetic algorithm which is the main toolof empirical researchers in the empirical treatment of arbitrage, the analysis algorithm tostocks selected in tracking simulation is close to the cluster tracking simulationpurposes,and then,this paper use genetic algorithm and BP neural network algorithmwhich is more excellent in the numerical approximation and function simulation tosimulate CSI300index. Using cluster analysis algorithm and genetic algorithmRespectively to study track and simule the CSI300index by CSI300stocks or ETF.Forthis reason,this paper discussed two cases:the simple use of index tracking CSI300indexon arbitrage and simple use ETF to track CSI300index on arbitrage.On the one hand, in the use of index tracking in CSI300index,this paper use the dataof daily transactions of CSI300index and stock index futures from Oct2011to Oct2012,to analysis the model of the pricing model of stock index futures and stock index arbitrageof stock portfolio, in addition to determine parameters of arbitrage-free interval; Finally,through the procedures of the method to the stock index arbitrage strategies show. On theother hand, in the use of the ETF tracking in CSI300index, In this paper, based on thedaily transaction data of four ETF and CSI300index stock futures from Oct2011to Oct2012.This paper has analysised using ETF to track CSI300index to arbitrage arbitrageopportunities and analyze the final arbitrage effect.In order to study more realistic arbitrage strategies, this paper finally through theMATLAB software to the arbitrage strategy program. Study found that the use of the ETFtracking index arbitrage compared to the index tracking index arbitrage opportunities canbe found more,and make better use of current period price not consistent profits. Thisarticle also found that futures market’s maturity effect and the yearend effect.