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Research On Pairs Trading Based On High Frequency Data In The Stock Index Futures Market Of China

Posted on:2015-12-09Degree:MasterType:Thesis
Country:ChinaCandidate:S Q BaiFull Text:PDF
GTID:2309330422491303Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
The share price index futures(SPIF)has developed very rapid. In addition, it canhedge and reduce the risk, take arbitrage strategy to make profits, and help lead theprice in the stock market.For the function it has and the fast speed it is developing, itis of great significance to research on the futures. This paper researched the pairstrading strategy in the futures market in China to offer the theoretical support forinvestors. It can be divided into two parts. One part is arbitrage, and the other isIntertemporal arbitrage.In the first part of arbitrage, I researched how to construct the spot and thearbitrage rules. In this paper, different methods of constructing the spot wereanalyzed and compared and the best method was picked. Then I used five ETFs tomake empirical study. And results showed that HuaTaiBaiRui HuShen300ETF canbe the best choice to build the spot. And I also tested the relationship between thespot and futures. They passed the cointegration test and implied that they could bethe pairs. Second, I studied the theoretical price of the futures based oncost-of-carrying model. Results showed that the actual futures prices tended to behigher than their theoretical prices.. Third, based on the theoretical,I researched twoarbitrage rules. One is based on the standard deviation of the spread. The other isbased on riskless arbitrage interval. I considered some actual factors in the market tobuild the riskless arbitrage interval. Empirical study showed that the rules based onthe riskless arbitrage interval were better than that based on the standard deviationof the spread.In the part of intertemporal arbitrage, we first tested the cointegration shipbetween nearby futures and distant futures by using the one minute price data ofIF1301and IF1302. And results showed that they two could be the pairs. Then Iused the cost-of-carrying model to make empirical study on IF1301and IF1302. Itturned out that the actual spread tended to be higher than the theoretical spread.Finally, as the arbitrage part, I analyzed and compared the two methods ofbuilding the rules. Results implied that the rules based on riskless arbitrage intervalwas better that the other one..In short, there were arbitrage opportunities existing in the futures market inChina. And no matter arbitrage or intertemporal arbitrage, the trading rules ofriskless arbitrage interval can help investors make more profits comparing with therules of the standard deviation of the spread. And this the data this arrticle selectedwas at the miniute level,belonging to high frequency data.
Keywords/Search Tags:share price index futures, arbitrage, intertemporal arbitrage
PDF Full Text Request
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