Research On Inter-period Arbitrage Strategy Of Shanghai 50 Stock Index Futures Based On High Frequency Data

On December 2nd,2018,stock index futures ushered in a third loosening,CICC made CSI 300 index,SSE 50 and the CSI 500 index futures margin standards reduced by 10%,10% and 15% respectively,the closing today fee reduced to 4.6,the non-set open-position limit to a single contract 50 sets.Based on the adjusted market of stock index futures trading on December 2nd,2018,this paper selects the contract between the current month and the next month of SSE 50 index futures,and applies the ARMA model and the GARCH family model to deal with its spread sequence,and by setting up a position,open positions,closing and stop loss point constructs the crossperiod arbitrage strategy of stock index futures which can obtain higher income and has certain stability,and at the same time,in the empirical application of strategy,ensure that the backtest fits into the reality as far as possible,taking into account the realistic factors such as close today,close yesterday fee and impact cost,the defect of instability of spread sequence caused by insufficient liquidity at a certain point in high frequency data and the problem of data snooping that may occur in the parameter estimation of the model.After demonstration,it is found that the strategy constructed realizes the annual yield of 17.11%,the annual fluctuation rate of 14.79%,the maximum drawdown 3.38% of the return period,and the successful arbitrage is realized,and then the strategy debugging part tries to change multiple parameters,including impact cost,trading signal threshold,the stability and sensitivity of the strategy are analyzed in detail by the sample length and data frequency of the training set,and a deeper problem is found.In conclusion,the research in this paper can provide reference for investors to use SSE 50 futures for cross-period arbitrage after the adjustment of stock index futures trading rules by CICC,and we also hope that the existence of arbitrage can quickly restore the wrong pricing of the market,stabilize prices,avoid abnormal fluctuations and improve market liquidity,and ultimately promote the development of the entire financial market.