| In the complex and volatile securities market, the huge risk contains a huge income, investors strive to stabilize the composite income is the same law of the stock market. Stock index futures and margin trading business in China continue to introduce the short of the implementation of the securities market in the securities market, making China's securities market more diversified trading mechanism, the market changes more responsible for the diversification of arbitrage transactions feasible ETF market in the China's rapid development. In recent years, the ETF market in China's capital market growth rate is very fast,ETF market in its number has increased significantly and its types have increased significantly. ETF with its special advantages in arbitrage transactions with a vast market. Initially, investors generally controlled risk through arbitrage transactions, and the ETF investment market quickly attracted a large number of investors after the ETF margin mechanism emerged. With the continuous development of ETF margin system, investors in the financial derivatives market more and more means of arbitrage transactions. In this paper, the ETF market in the field of quantitative index investment is studied by applying the strategy of congregation, and the profit arbitrage strategy of ETF products is analyzed emphatically. Mainly according to the risk-free arbitrage strategy and risk arbitrage strategy respectively, and analyzes the arbitrage strategy and the high-frequency transaction arbitrage strategy, and carries on the simulation operation,then the conclusion proves the feasibility of the arbitrage strategy.In the international capital market, ETF arbitrage strategy and according to the statistical arbitrage strategy theory. However, because of our lack of short-term mechanism for a long time,China's ETF arbitrage trading strategy in the face of research is relatively small. The research idea of this paper is through the combination of statistical arbitrage model, and then combined with China's securities market to verify the analysis of China's securities market is applicable to the statistical arbitrage strategy conclusions. The feasibility of arbitrage trading activity in China's stock market is verified by the use of statistical arbitrage strategy model in China's securities market. The main contents of this paper are as follows: In this paper,through the research on the arbitrage strategy of transactivations risk trading, the liquidity of the 50% FETT is the best, so it is used as the research object and verified with the SSE 50 stock index futures. The objective of this paper is to compare the SSE 50ETF with the SSE 50 Index Futures. After the long-term statistical data, the results of the transaction are retrospectively tested by the co-integration arbitrage strategy model. Based on the large number of data statistics The profit result table is made, and then the conclusion of ETF arbitrage strategy is obtained through the analysis of the transaction result. Through the demonstration, to a certain extent able to show that through the design of the 50ETF and stock index futures portfolio arbitrage operation is in theory through the line, and to a certain extent, have a relatively large profit margins. By rigorously conducting a simulation study of the SSE 50ETF and the SSE 50 stock index futures portfolio, the portfolio is profitable and the arbitrage interval is more accurate as far as possible in the full analysis of the spot and futures price cost relationships. And then use the latest market data using a simulation transaction verification method, making the 50ETF arbitrage strategy on the continuous improvement of mature. Finally, the market for investors to give their own pertinent advice. |
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