Research On The Statistical Arbitrage Strategy Of CSI 300 Index Futures

Stock index futures refers to a kind of standardized contracts taking the stock price index as the underlying asset of transaction,is a financial derivative product.CSI 300 index futures takes the Shanghai and Shenzhen 300 index as the subject which has high market share and good representation in similar products,it has stable market performance response to market cyclical fluctuations.The purpose of this paper is to find new investment opportunities and improve investment strategy which can stabilize the market while realizing the protecting and growing investor`s wealth.Therefore making it as research object and predicting that the quantitative investment strategy will become mainstream in the futures market.CSI 300 stock index futures trading with the use of margin trading system,the day without debt settlement system,the contract has expiration date,the transaction is a standardized futures contracts and other characteristics.This paper studies the arbitrage method of using spreads between stock index futures contracts.The basic inter-temporal arbitrage benefits by building and hedging the same amount,the opposite position,the different month,and the same underlying contract.Specifically divided into bull arbitrage,bear market arbitrage and butterfly arbitrage.The statistical arbitrage is an arbitrage method based on the historical data,and uses the statistical analysis tools to study the stability of the fluctuation trend between the related prices and the regularity of the spread distribution,and analyzes the variation of the time series of the spread centralization,calculates the timing and probability of arbitrage,so as to establish the correct stop-loss boundary and obtain more profit with less risk.In this paper,CSI 300 index futures IF1007 and IF1008 1 minute high frequency data were selected for research.The covariance test is used to verify the stationarity of the index and establish the statistical arbitrage model.The specific steps are determining the object basing on the principle of convergence,establishing trading rules by the spread distribution,developing outgoing and stop signals.The standard deviation of the spread sequence of the stock index futures contract is changed with time and has the characteristics of time variance,The conditional heteroskedasticity of residuals is described by GARCH model.The influence of volatility shocks is analyzed by threshold ARCH model,and the centralization sequence is established to determine the threshold.The empirical results show that there are statistical arbitrage opportunities for CSI 300 index futures`market,Statistical arbitrage is an analytical method to help investors find arbitrage opportunities in financial markets.The basic principle is to select the spreads with stable relationship.The statistical analysis method is used to estimate the equilibrium range and deviation probability distribution of the spreads,to carry out investment arbitrage.The securities firms and investors can get more profit than risk-free arbitrage by quantifying the investment strategy with the appropriate risk.