The Study Of The Shanghai 50 Stock Index Futures Arbitrage Trading Strategies

After the launch of the CSI 300 index futures,SSE 50 stock index futures has been listed on the trading market for more than three years since April 2015,which played an important role in the development of Chinese futures trading market.For the arbitrage situation of stock index futures,it has been discussed and researched by scholars at home and abroad.Therefore,this study will research the arbitrage strategy by using the SSE 50 index futures in order to provide investors for simple and feasible strategy choices,as well as enrich the arbitrage trading activities of Chinese futures market to a certain extent.The arbitrage is mainly based on the basis of two futures and the spot.Open the position when the basis is abnormally deviated and hedge position to get the return when the basis returns.This study uses the SSE 50 ETF fund to construct the spot object and observes the fluctuation between it and the basis of the SSE 50 stock index futures.It is observed that there is a certain arbitrage space and the arbitrage space is further explored from the influence factors of the basis.Based on the characteristics of basis fluctuation and combined with the cost strategy and statistical strategy,the corresponding arbitrage interval is established based on the cash flow by using the cost pricing model.And based on the mention above,the influencing factors of the current arbitrage are analyzed and the valuation is set,as well as the arbitrage strategy is built.After that,the basic arbitrage strategy is programmed pro-grammatically,the trading rules and signals are set,and then the MATLAB algorithm is used to execute the results.The innovation of the study is that it deeply considers about the fluctuation characteristics and influencing factors of the basis to ensure that the arbitrage opportunities and effects are significant.What is more,using the ETF fund to build up the spot object is practical and increasing the practicability and applicability of the arbitrage strategy.The results of the strategy of the study can show that the arbitrage effect is analyzed from two aspects such as profit opportunities and benefits.The results evidence that the strategy can capture 58.82% arbitrage opportunities and obtain 12.4%annualized rate of return.Specifically,from the analysis of positive arbitrage and reverse arbitrage: as for the number of transactions,the number of positive transactions is more than the number of reverse arbitrage,and the arbitrage success rate is higher than the latter.As for the return from arbitrage,positive arbitrage gains are better thanreverse arbitrage gains.In conclusion,the basic strategy from this study is feasible and has the good arbitrage effect.In addition,the effect of positive arbitrage is better than that of reverse arbitrage.In order to provide investors with relevant theoretical knowledge guidance for arbitrage and provide a simple and feasible stock index futures arbitrage strategy,this study analyzes the arbitrage trading of SSE 50 index futures so that can give some suggestion for investors to trade in the futures market and help the investors to get the ideal return,as well as promote the healthy development of Chinese futures trading market.