Csi300Index Futures Empirical Studay Of Arbitrage

Current stock index futures as mainstream financial innovation in the international capital market has become the main risk management tool. Stock index futures arbitrage as an important way to ensure that the market price of the stock index futures also increased rationalization of market liquidity. On China’s Shanghai and Shenzhen300stock index futures arbitrage research helps our active stock index futures market trading volume, while improving the efficiency of our capital markets and risk management, arbitrage plays an important role. Arbitrage method is mainly divided into two types, one is the holding cost for the traditional theory of risk-free arbitrage method developed on the basis of the other is not dependent on market trends, based on the mean reversion principle of two assets for long-term stable relationship short-term deviation from statistical arbitrage.With the2010launch of margin trading business and the CSI300launch, it marks the formation of short mechanism in our country. Currently the subject of an increase in the number of margin, as well as the recent launch of a new stock option trading, short selling is gradually improving, which are for statistical arbitrage in China’s development opportunities. According to China stock index futures market and the spot market, the underlying market conditions species analyzed, the CSI300index to the subject matter of the exchange-traded index funds as the underlying asset is feasible spot. Developed a stock index futures on statistical arbitrage design ideas, and based on this have been stock index futures on statistical arbitrage empirical research.In the process of selecting the empirical analysis of the CSI300stock index futures contracts and Hua Tai Bairui consecutive month300ETF assets as a pair, with five minutes four days of high-frequency data empirical analysis, through stationary test and cointegration test to prove two assets with cointegration. Error correction model is further amended by the spread of a short pair of assets. Error correction model shows that due to balancing mechanism makes the stock index futures variable bias on the basis of non-equilibrium on the adjustment of the correction amount-0.1631. When short-term fluctuations will deviate from the long-term equilibrium adjustment of non-equilibrium state-0.1631will pull the equilibrium. From the residual constant fluctuations and time-varying volatility fluctuations two perspectives to analyze the spread volatility, arbitrage trading model results showed that both have advantages and disadvantages, varying volatility increased significantly when the fluctuation analysis of arbitrage spreads relatively constant despite fluctuations in the number of arbitrage-based, the effect of income is not constant volatility is good. Finally gives some recommendations on futures statistical arbitrage.