Based On Futures Arbitrage Across Species Under High-Frequency Data

Since China Zhengzhou Grain Wholesale Market opening marks the establishment of China’s futures market October 12,1990, China’s futures market has gone through twenty years of development history, with the increasing variety of transactions, a large number of investors enter the futures market arbitrage trading, cross-species arbitrage trading volume is also growing. But literature domestic scholars study cross-species arbitrage much, investors reference cross-species arbitrage less time. Therefore, the theory and practice of cross-species arbitrage can provide effective advice and improve the efficiency of China’s futures.In this paper,co-integration theory, based on the average spread of responses to cross-breed of steel and iron ore futures market arbitrage empirical research. First, the literature and statistical arbitrage theory sorting, summarizing research status of cross-species arbitrage and analyze the possible existence of some problems in practice. Then, using Matlab and iron ore to make steel in 1 minute high frequency data prices August 1,2014 to October 31,2014 the correlation analysis, cointegration analysis, the results indicate that steel and iron correlation coefficient of ore up to 0.9795, while the existence of a long-term stable equilibrium relationship between the two. In this paper, the traditional mean-standard deviation pairs trading model benchmark empirical research, based on this proposed strategy based on recursive pairs trading operations, trying to capture arbitrage opportunities from the spread in the empirical model shows that the control parameters are not sensitive, so this model is robust.In this paper, steel and iron ore, for example, describes how to filter system paired combinations, how to determine the matching rate arbitrage portfolio, how to set the threshold trading signals and in practice how to design trading rules, and gives a series of indicators of performance evaluation. Shows the whole process of statistical arbitrage strategies implemented so that investors can master the basic processes are based on preliminary statistical arbitrage strategies cointegration methods and ideas and directions for further research.