Research On The Future-spot Arbitrage Of Shanghai And ShenZhen 300 Stock Index Future

Arbitrage takes great position in index future trades, the suitable arbitrage method can not only bring stable and great revenue but also improve the efficiency of the capital market.Based on the theory of index future arbitrage, this paper concludes the related theory and introduces the feature of the Shanghai and shenzhen 300 stock index future. According to the development of china's capital market, this paper analyzes the important factor that influence the spot-future arbitrage, the result establish the basement for the selection of arbitrage and parameter. This paper focus on the three core problem in spot-future arbitrage, First, the arbitrage cost is divided into fixed cost and variable cost; second, Tracking results of ETF index fund portfolio and stock portfolio are researched, the method including value weighted method, optimized sampling replication method and stratified sampling replication method are analyzed in detail, the result indicates that the stratified sampling replication method is the best one. Third, by comparing the EWMA method, GARCH models, Extreme value theory and Lookback options modes, lookback options model is finally selected as margin setting method by which this paper calculate the appropriate margin level. Finally, this paper takes the test of spot-future arbitrage, which indicate that the revenue of arbitrage is great.This paper analyzes the risk during the arbitrage and give some related preventive measures, which prevents the arbitrage risk effectively.