| After the stock market crisis in 2015,China Financial Futures Exchange strictly strengthened market supervision,which imposed strict limits on margins,transaction fees,and open positions for stock index futures to carefully guard against market speculation.Under the high pressure of the policy,the trading activity of all varieties of stock index futures declined sharply until the easing policy issued gradually in February and September in 2017.The liquidity of the stock index futures market was gradually released.This article is based on the adjusted data after the new regulations in September,which is to make an empirical study of intertemporal arbitrage under high-frequency trading.This article used the literature analysis,qualitative analysis,and quantitative analysis research methods in the research process.Relying on literature,theory and models,this article achieved imitation arbitrage transactions.The results of the study showed that the strategy can achieve an annualized return of 11.38%,an annualized volatility of 16.33%,and a maximum drawdown of 20.81%.On the whole,although the risk of the trading strategy is existed,it has achieved higher returns,and it has a higher success rate from the point of view of transaction profitability.From the perspective of stability,it also run steadily on different training and testing periods.This strategy can provide strategic reference for investors to conduct intertemporal arbitrage.The significance of this study is not only to provide investors with theoretical guidance on the tools and investment for asset preservation and appreciation,but also to expect that arbitrage can quickly restore the balance of market mispricing to stabilize market prices.What's more,it can increase the liquidity of futures markets.Regulatory authorities can be based on the study to repair market,improve the institution,and promote the development of the futures market and the entire financial market. |
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