Research On Inter-temporal Arbitrage Strategy Of Stock Index Futures Based On High Frequency Data

On April 16 th,2010,China Financial Futures Exchange announced China's first listed stock index futures contract,the Shanghai and Shenzhen 300 futures contracts.For the time being,among the various types of financial risk management tools,stock index futures have developed most rapidly.In the past few decades,the types have become more abundant,the system more perfect,and functions more comprehensive.For China's A-shares,2015 was an extremely difficult year.The management has formulated a number of schemes to avoid excessive speculation in stock index futures.Therefore,studying the stock index futures price discovery in China,making full use of its hedging and price discovery functions to obtain more trading opportunities,and also in-depth exploration of the relationship of inter-temporal arbitrage transactions with various factors are very crucial.Those plays very important roles in the regulation of the capital market,the stability of investor returns,and the stability of market development.This paper combines empirical research and theoretical research.The first step is to explain the relevant theory of the inter-prediction of stock index futures in the high-frequency quantitative trading mode.Combining the actual situation and development status,practice and theory,it analyzes the background and theory of stock index futures intertemporal arbitrage,stock index futures arbitrage,stock index futures and high frequency trading mode.The second step is to analyze the transaction data generated by the 3120 group of China Shanghai and Shenzhen 300 stock index futures based on the high-frequency quantitative model within 1 minute,and select a reasonable inter-temporal arbitrage trading model based on the results obtained.The data is used to test the validity of the model built.The third step is to make a valid proposal after completing the study.According to the existing research,the high-frequency intertemporal arbitrage trading based on the GARCH(1,1)model has a great advantage in reflecting the dynamic change of the logarithmic price difference of the stock index futures contract with time.However,the conditional variance will only be affected by external disturbances in a short period of time.Therefore,if strategies and models are to be effective,it is necessary to minimize the interval between transaction data in the sample;if not,it will be elongated.At this interval,its effectiveness is difficult to achieve.Therefore,it is necessary to understand the market trading situation in real time and update relevant fitting data in time.The establishment of the model should be compatible with the changes in the investment market.Therefore,this paper chooses the dynamic arbitrage model,and the empirical results show that there is indeed an opportunity for inter-temporal arbitrage between the CSI 300 stock index futures contracts,and the dynamic trading strategy designed in this paper can obtain better returns.Finally,on the basis of empirical research,this paper attempts to put forward some suggestions,and makes some conclusions and prospects for the shortcomings of this paper.