Empirical Study On Intertemporal Arbitrage Of Stock Index Futures Under High Frequency Trading Data Model

As a new capital market country,China faces many problems in the process of the rapid development of the stock market and there exists great systematic risk.China's capital market-stock market plunge sharply in mid-2015,causing a strong impact on the financial market,and the related traders suffered huge losses.Futures market can use the characteristics of two-way trading of stock index futures,making a bearish transaction to hedge the loss of stock market,but this will accelerate the further decline of share price.In order to prevent short trade,China has issued a tightening policy on stock index futures.Then we can maintain stable development of stock market,but this policy will reduce the activity of stock index futures circulation.In February 16,2017,China Financial Futures Exchange announced that the stock index futures trading restrictions were relaxed,the number of days of opening limit increased to 20,margin adjusted to 20%,and the amount of transaction fee is 9/10000 point two.The positive signal of this policy has caused more and more investors to integrate stock index futures in the allocation of portfolio assets to improve the income of investment strategy.Under this background,this paper studies the intertemporal arbitrage of stock index futures high-frequency trading,looks for arbitrage trading opportunities in the high-frequency trading data mode of stock index futures,mines the ultra-short-term spread of high-frequency financial data for stock index futures,designs of the high-frequency intertemporal arbitrage strategy and compare the trading results before and after the loosening of stock index futures.Based on the cointegration theory and the theory of mean cost,this paper studies the one-minute high frequency trading closing price data of IF1703 and IF1706 contracts of stock index futures.Through comparative analysis of the GARCH family model,it is concluded that the AR-TGARCH model can accurately find the long-term equilibrium relationship of the price data series in the IF1703 and IF1706 contracts and the timing and probability of spread trading.Then we design a high sensitivity and low sensitivity intertemporal arbitrage strategy according to the distribution of the price difference sequence.The empirical results show that there is a cointegration relationship between IF1703 and IF1706 contract data,which confirms the existence of arbitrage space.From the overall perspective,we can see that whatever high sensitivity trading strategies or low sensitivity trading strategies we use,we can have a success rate higher than 80% in bull market and bear market,which shows that the intertemporal arbitrage strategy based on the AR-TGARCH model can be a good grasp of IF1703 and IF1706's price difference volatility characteristic of their sample.Based on the research of stock index futures arbitrage process,this paper used high-frequency data,the traditional simulation and low frequency data,improving the spatial frequency data,innovatively proposing the characteristics of variance model of stock index futures on the volatility of AR-TGRACH spreads,filling in the research methods of separated month contract arbitrage.Then we can provide a reference for the development of stock index high frequency trading futures.This paper is of great significance to investors' access to investment income,stable and healthy financial market development,and national prevention and governance of capital market risks.