An Empirical Study Of Co-integration Model Of Inter-temporal Arbitrage Based On HP Filter

Reviewing the stock market in recent years, the trading volume atrophied, the shanghai stock index hovers at the bottom, and range of falling of the index was the top of global markets, so the majority of investors was far away. After the appearing of stock index futures beginning from April 16,2010, our securities market has a means of short-mechanism, and a variety of investment strategies emerged. Under the CSI 300 stock index futures appeared and short mechanism has been improved, quantify hedging techniques is popular with investment institutions and academia aficionados, and the statistical arbitrage as quantification of hedge technology becomes more and more important. However, with the increasing number of the arbitrageurs in the market, the space of CSI 300 index futures Inter-delivery Spread increasingly narrows. With the market maturity increasing, the linkage between the Shanghai and Shenzhen 300 index futures contract grows, and spread across the range of fluctuation between the contract price continues to narrow. In this context, how arbitrage strategies can capture more arbitrage opportunities, obtain better income arbitrage is becoming one of the hot current domestic financial engineering research.Firstly, this paper describes the origin, development of statistical arbitrage and the related theory. We also Systematic discuss the relationship between arbitrage and statistical arbitrage, the sorts of arbitrage and disadvantages of statistical arbitrage.Secondly, this paper will introduce two common models of the Inter-delivery Spread:the carry-cost theory and its’ related knowledge, the co-integration model of stock index futures inter-temporal arbitrage and its’ related knowledge. On this basis, we respectively empirically research these two classical models by using the same sample data, and gain the trading results.Finally, on the basis of co-integration model of inter-temporal arbitrage, we make a little improvement on the model that we use the HP filter to process the spread sequence of two different futures contracts to make the spread sequence smoother, so that the model captures more arbitrage opportunities. Using the scroll window methods in empirical research to calculate the trading results of the index futures inter-temporal arbitrage strategies based on HP filter, we can get the Quantitative Evaluating on this model. Compared with the trading results of the two earlier models, the index futures inter-temporal arbitrage model based on HP filter is better to capture more arbitrage opportunities, in the case of the cumulative yield is much higher than the previous two and the risk is lower than the first two.