Stock Index Futures Intertemporal Arbitrage Based On Variable Structure Cointegration

China’s CSI300stock index futures traded officially in April16,2010. Since then opens a new chapter in China’s financial market, Chinese investors have a real sense of the hedging instrument, change no short history. After four years of healthy and orderly development, China’s stock index futures market is relatively mature. In China’s financial markets Stock index futures play an increasingly important role, give full play to the hedging, price discovery and avoid systemic risk and other functions. Investors use stock index futures to arbitrage, not only to correct the deviation of the market price, but also to get a low-risk return. Stock index futures arbitrage research for investors and our financial markets are of great significance.Stock index futures arbitrage, including arbitrage, intertemporal arbitrage, cross-species and cross-market arbitrage and other means. This paper studies the intertemporal arbitrage of index futures. The first part outlines the basics of stock index futures. The second part details the arbitrage theory, derivation of the holding cost model, describes in detail the definition of statistical arbitrage theory, policy enforcement and inspection methods. In the study of the stock index futures arbitrage, generally based on holding cost model and ordinary cointegration models. Cost of ownership model is not easy to determine the dividend rate, the spread for a long time does not return and the traditional cointegration model cannot adapt to the changing structure. We introduce variable structure cointegration. Then introduce the definition, type, and test methods of variable structure cointegration model. The third part introduces the theory of the entire arbitrage strategies process, including price sequence stability test, variable structure cointegration test, and build steps to achieve intertemporal arbitrage strategies. First, using the ADF test for stationarity test, traverse all possible "variable structure point" at the ADF values and take their minimum, to test the existence of variable structure cointegration with critical values. Then introduce the process of trading strategies, including the selection of the subject transaction, build a portfolio, establish trading rules and optimization strategy parameters. The fourth part is the empirical study of trading strategies, One pair contract on one complete transaction cycle empirical, multi contracts on multi transaction cycles empirical. The empirical results indicate that the effect of the variable structure cointegration to simulate the price is better than ordinary cointegration, performance based variable structure cointegration arbitrage strategies also superior to traditional models. The fifth part of this paper summarizes and prospected.