| Calendar spread arbitrage of stock index futures is one of the most popular trading methods in China’s futures market.This kind of spread arbitrage strategy is carried out between two contracts with different maturity dates of the same underlying index,which can control the market risks,and at the same time,can bring investors relatively stable returns.In China,CSI 300 stock index futures is the first one to be on the market,and have the largest trading amount and the largest positions,which provides a good research object for the study of calendar spread arbitrage strategy.In traditional calendar spread arbitrage trading,investors need to analyze and predict the trend of contract portfolio.This arbitrage pattern is not only influenced by subjective judgment,but depends on the situation of the stock market,which causes great risks.Therefore,this paper introduces the co-integration analysis method of statistical arbitrage theory,which can obtain arbitrage opportunities according to the long-term equilibrium relationship between contract prices.The specific operation is to establish a price difference sequence,and use the appropriate model to fit the price difference,then formulate the trading strategy,and finally conduct empirical tests.This paper chooses the IF01 and IF02 of CSI 300 stock index futures from 2012 to 2018 as the trading objects.Because of the autocorrelation and heteroscedasticity of volatility in price difference series,ARMA model is used to establish the mean value equation of price difference,and the component GARCH model is used to establish conditional variance equation to improve the fitting degree of price difference series.When the trading rules are formulated,the trading threshold is set to the standard deviation of residual deviating from its mean value by a certain multiple.From the results of the final simulation trading,we can see that it is feasible to use the long-term closing price data of CSI 300 stock index futures for calendar spread arbitrage. |
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