Stockmarket Turbulence Characteristics Of High-frequency Hedging Strategy

With the occurring of the securities financing and ShenHu 300 stock index futures,Chinese securities market has possessed the shorting mechanism;institutional investors and researchers of hedge funds have focused on the study on pairs trading strategy.With the development of electronic platforms and high-frequency trading,the opportunities of day to day arbitrage are fading.The high-frequency daily arbitrage will cause extensive concerntation of investors.This article is aimed to explore the feasibility and possibility of pairs trading strategy from the principle of statistical arbitrage,cointegration analysis and paired trading strategy.It will explore the possibility of daily arbitrage opportunities,based on the 30-minute-price of shenhu 300 index.In terms of setting trading rules,we should use a constant standard deviation to determine trigger point and stop point;considering the sample outside spread sequence is volatile,so when it comes to improve trigger point and stop point of the sample data,arbitrage profits of the sample have increased significantly.It is an effective way to improve the statistical arbitrage yields to properly increase trade trigger point and stop point.In the course of arbitrage,if holding time is less than 12 days on average,it proves that this strategy is a short-term investment strategy.The empirical results show that the paired trading strategy,which is based on cointegration,is feasible in the securities market in China.Whether the stock market is bear market or bull market,if the strategy is proper,we will still gain expected return.