Comparative Analysis Of Futures Arbitrage Strategies Based On The Jump Model

With the development of financial markets,the futures market has gradually emerged,and the futures has become the main investment method for many investors.Investors have conducted in-depth research on different futures and different arbitrage strategies in order to obtain higher returns than the stock market.With the rise and the development of computer technology,some complex arbitrage strategies no longer require manual trading methods,but instead become automated trading methods that rely on computer programs.The current arbitrage strategy is developing rapidly in foreign capital markets.In contrast,China's trading strategy on futures spot is still at a relatively low level.At this stage,the automated computer program of the current arbitrage strategy will not only achieve higher and more stable returns,but also reduce the volatility of the futures market.Therefore,it is very necessary for us to conduct an in-depth study of the current arbitrage strategy.Based on the non-parametric method,this paper divides the sample data of the Shanghai and Shenzhen 300 stock index current month futures contracts into high fluctuation period and low fluctuation period,and then conducts the strategy on whole sample interval,high fluctuation period and low fluctuation period respectively.After optimizing the strategy parameters,this paper uses the risk-return indicators such as cumulative yield,maximum withdrawal and annualized yield to evaluate the performance of strategy under different periods.Secondly,this paper divides the sample into bull period and bear period,and then evaluate the performance respectively.Finally,in order to shorten the trading time,this paper conducts several short-term transactions,such as weekly trading,intraday trading and two-days trading.According to the simulation results,this paper finds that the strategy performs optimally under the high fluctuation period regardless of transaction costs,and the performance under the low fluctuation period is the worst.Among them,when the market is in a bear market with a large decline or a market where the bull-bear market exchanges,the annualized return of the strategy will be significantly improved,and the maximum withdrawal will remain at a low level.Moreover,the results show that all three short-term transactions have achieved higher returns than the full sample simulation.The innovation of this paper is mainly to use the non-parametric method to separate the high fluctuation period from the whole sample,and to carry out strategy simulation on the samples with different fluctuation ranges.The traditional arbitrage literature generally only tests the performance of the whole sample.According to the performance of the strategy under different period,this paper hopes to provide more reference for future investment.