An Empirical Study On 50 ETF Options And IH Futures Arbitrage

Based on the pre-human arbitrage theory,this paper further proves the basis of50 ETF options and IH futures arbitrage,and designs a quantitative trading model based on Bollinger arbitrage.After optimizing the entry conditions of the model,it is concluded that there is a relatively stable spread between 50 ETF options and IH futures,and there is a better return for arbitrage of 50 ETF options and IH futures.This article can be divided into the following sections:The first part mainly introduces the definition and characteristics of quantitative transactions.The current status of foreign and domestic research on quantitative transactions is introduced.It also introduces the quantitative investment theory under the support of behavioral finance,and introduces the innovations and shortcomings of this paper.The second part introduces the choice of quantitative trading varieties and strategies,analyzes the theoretical basis of the two major trading strategies of trend tracking and statistical arbitrage,and analyzes the risk control of CTA strategy,emphasizing the importance of controlling risk.On the basis of the previous statistical arbitrage,the third part is based on the theoretical basis of arbitrage between the two,the simplicity of Python language,the application of mean regression strategy in arbitrage,the increase of 50 ETF option volume,etc.,on 50 ETF options.A feasibility analysis of the programmatic arbitrage between IH and IH futures was conducted.The fourth part introduces the need to align the original data of 1 minute for IH stock index futures and 50 ETF options,and needs to complete the missing data,and conduct ADF test on the spread of futures and IH futures synthesized by SSE 50 ETF options,and draw conclusions.: The time series of spreads is smooth.The fifth part explains how to use the Bollinger Band model to arbitrage the spread of futures synthesized by IH stock index futures and 50 ETF options,and evaluates the Bollinger arbitrage model from the perspectives of profitability and risk resistance,and optimizes the trading model.And the test outside the sample,it is found that there is a possibility of arbitrage between 50 ETF options and IH futures.