Research On Intertemporal Arbitrage Of Chinese Stock Index Futures Based On High Frequency Quantization Trading Model

On April 16,2010,Stock index futures of CSI 300 contract was officially launched by the China Financial Futures Exchange as Chinese first listed stock index futures.After more than thirty years of development,stock index futures have become one of the most rapidly developed financial risk management tools.In 2015,Chinese A shares suffered an unprecedented special period in history,regulators to curb excessive speculation in stock index futures have introduced a number of measures.Therefore,in this special period,it is particularly important for us to explore the Chinese stock index futures price discovery rules,and under different conditions of high frequency practical data mining based on stock index futures arbitrage opportunities,reasonable use of stock index futures and its price discovery and hedging function of the reaction,and the effects of various factors on intertemporal arbitrage.It's very significant for the stability of the market,all kinds of investors to obtain stable income in investment,and financial regulators regulate the capital market.This paper used the method of the combination of theoretical research and empirical research.Firstly,systematically analyze and interpret of the relevant theory about stock index futures trading under the mode of High Frequency Quantization Based on intertemporal arbitrage,use the method of development and the present situation of the combination of theory and practice,the combination of progressive layers,followed by the analysis of high-frequency trading pattern,stock index futures stock index futures,stock index futures arbitrage,intertemporal arbitrage theory and background;secondly,using the logic thinking from the inside and outside,and the stock index futures spread arbitrage relationship factors,cost factors,policy factors three aspects of system analysis may affect stock index futures arbitrage conditions;then,the high frequency quantization model based on analysis of China Shanghai and Shenzhen 300 stock index futures real 1 minute high-frequency data of 3360 groups,and the analysis results using appropriate methods to build a cross Arbitrage trading model,at the same time designed bull market trading strategy and bear trading strategy of high sensitivity and low sensitivity conditions;also,validate the model using two real sample data;finally,according to the research results of this paper draw the main conclusion and put forward the guiding suggestions.Through the previous empirical comparison,we can see that the high frequency intertemporal arbitrage strategy based on AR(4)-EGAHCH(1,1)model can better reflect the time-varying characteristics of stock index futures contract volatility.However,the impact of the external disturbance term on the conditional variance is not very durable.Therefore,with the sample data in transaction time interval is shorter,validity of the model and the strategy is stronger;with the sample transaction data interval becomes longer and the validity of the model and the strategy is weak,and the rate of decline is speeding up.So in the establishment of the model fitting data need timely according to the market trading situation of the corresponding update,to be able to deal with the investment market changes.The results of this study show that the arbitrage model and strategy trading rate established by AR-EGARCH are high,and the sample data success rate of two periods can reach more than 70%.This paper focuses on the status quo of Chinese capital market,and according to the characteristics of the general period and special period,analyzes the stock index futures intertemporal arbitrage strategy.And try to combine the results of empirical test of intertemporal arbitrage model with the factors that affect intertemporal arbitrage,from the reality to the theory to guide practice,to provide a reference for the development of the special period of trading strategy and future transactions.