The Shanghai And Shenzhen300Stock Index Futures Spread Trading Strategies

In April16,2010, the Shanghai and Shenzhen300index futures listed on theChina financial futures exchange, provided a shorting mechanism for the domesticsecurities market, it is of great significance for the development of China’s financialmarket.It has a very strong practical significance on the theory and application of the stockindex futures spread trading. And the list of Shanghai and Shenzhen300stock indexfutures market provides real data on empirical analysis for the spread trading. How touse these data on the spread trading has become one of hot to institutional investors,they are the main participants in the stock index futures market. In the empiricalanalysis, based on statistical trading ideas and empirical research about the highfrequency data is still relatively small, with the development of China’s Shanghai andShenzhen300stock index futures market, the feasibility and effectiveness of the spreadtrading pending further examination, this is also the main task in this paper.This paper launches the research around the spread trading function of stock indexfutures, the existing theory of spread trading and operating method are also introduced,on the basis of previous studies, we set up high frequency data computer trading modelbased on the statistical arbitrage theory, and analyze the real deal of minutes data, thenget the return rate of the model. We hope to provide a reasonable investment referencefor investors by this paper.In the empirical stage, we use the high frequency data of stock index futurestransaction history to analyze the spread trading opportunities. The empirical resultsshow that, the Shanghai and Shenzhen300stock index futures spread trading strategiesare feasible in theory and practice, and the gains of spread trading is stability. But theactual transaction funding for larger and has a high technical advantage of investors,investment institutions related to the technology and capital advantages, is more suitablefor traders. In the trading opportunities, month and next month contract portfolio hasmore trading opportunities, and next month and next season contract portfolio yield ishigh, trading strategy can avoid the influence of fluctuations of the index, but to avoidthe impact of the cost of the transaction process is very important. All these conclusionscan be used as investors understand the laws of the market and the proposed operation in the actual transaction.In terms of innovation, the innovation of this paper lies in the establishment ofstatistical arbitrage model, this model analyzes the fluctuation of stock index futuresspread price, considering transaction costs may have in spread trading, selects theappropriate statistical interval, and with the aid of computer program, analysis and lookfor trading opportunities on the high frequency of historical data, and finally obtainedspread the empirical yield. To establish the statistical transaction model, that isempirical process of spread trading strategies, an attempt to apply the computertechnology in the transaction is in the empirical research.