Research On Arbitrage Strategy Of Stock Index Futures

This paper studies the stock index futures arbitrage trading strategies, stock index futures market has been opened in China more than a year, as a whole market performed well, some good arbitrage opportunities emerge. This period is to be adopted by stock index futures arbitrage, and closed fund arbitrage, arbitrage across the term describes the three main aspects to the operation of the carry trade may have the opportunity to better provide investors with specific operational guidance.The first chapter is about China’s stock index futures strategies and operating profile. This chapter describes the three functions of stock index futures and arbitrage, hedging, speculation, three major operating strategies. And experiencing from "Tai Zhi qi huo" goods, the trade mainly concentrated in the first three years, and can be divided into several stages. And this chapter is trying to give China’s stock index futures arbitrage transactions methods and experience learning.The second chapter is about the stock index futures of arbitrage trading strategies. This chapter introduces the principle of arbitrage, stock index futures price at maturity will converge to the Shanghai and Shenzhen300Index, then in Shanghai and Shenzhen300Index before delivery if the spread between the futures contracts to generate more than the cost of arbitrage opportunities. This chapter focuses on the application of ETF portfolio simulation and stock index futures arbitrage, and describes the theoretical model of arbitrage-free interval, and finally suggests the risk arbitrage trading and details.The third chapter is about a closed-end funds and stock index futures arbitrage. It describes the closed-end funds and stock index futures arbitrage theory and the derivation of beta, closed-end funds and stock index futures, points out that the central concept of arbitrage is to earn the maximum extent possible before the expiration of the closed-end fund discount space, and discussed the operation of the major risks, including risk margin, futures rollover risk and liquidity risk fund.Chapter IV is the intertemporal stock index futures arbitrage trading strategies. This chapter introduces the principle of intertemporal arbitrage. Index arbitrage is the inter-period futures exchanges in the same figure but different delivery month of the index arbitrage activities. Then introduced the GARCH model based on intertemporal statistical arbitrage, arbitrage and index intertemporal standard deviation, respectively, using comparative methods and Garch volatility forecasting methods, found by comparing the fluctuations in the price difference since there is a strong correlation time, Garch method better than the standard deviation method, and finally through the historical review of empirical research and validation of the method.Chapter V is the stock index futures arbitrage trading risk management strategy. This chapter introduces the risk of stock index futures arbitrage trading range and long-term capital investment by U.S. companies of typical risk cases, to analyze the carry trade in a variety of risks that may arise; then presented the basic stock index futures trading risk arbitrage management strategies, including risk measurement and control measures; Finally the current China’s stock index futures arbitrage trading and risk response measures.The innovation of this paper is closer to actual combat operations, and through the period of arbitrage, closed-end fund arbitrage and arbitrage across the term, describes the three main ways to combat the development of trading strategies and risk control for China’s institutional investors stock index futures arbitrage trade by providing a reference.