| At present, the global economy in the rebalancing process and the development of index market also gradually recovering are showing the trend of rapid expansion. However, the strong connectivity of the world economy makes the crisis and opportunity of the development of index exist at the same time and put forward new requirements for the entire world financial system. It can be said that the stock index futures is the mainstream risk management tools of the international capital markets in the current, and also a great financial innovation.Based on summarizing and drawing on the research results at home and abroad and combining with development and historical data of China's CSI300course, this article comprehensively discourses the pricing model and arbitrage mechanism based on statistical analysis. Because of limited space and capacity constraints, here only explore the period of Stock index futures arbitrage. In this article, I want to construct a lower risk, higher return on investment and an arbitrage model which the transaction model market is enough efficiency by researching on the CSI300stock index futures for a period of arbitrage and showing market transaction data in April2010to now and then reach the goals:performance is better than the current average level of income in the case of real arbitrage trading.The paper is divided into five chapters. In the first chapter, described the background, purpose and significance of this study, the research framework and innovation. In the second chapter, described the theoretical basis for CSI300stock index futures arbitrage firstly and summarized trading conditions of the domestic market of arbitrage and introduced design ideas about the model of the CSI300stock index futures arbitrage.Then, in Chapter3, focusing on the CSI300stock index futures of arbitrage market analysis, focusing on analysis about the market conditions of subject of varieties in the spot market and market analysis about the CSI300stock index futures and cost analysis in the arbitrage process explore the practical problems that should be noted in the opening of the arbitrage strategy.Then, the main work of the fourth chapter is to establish the CSI300stock index futures arbitrage model. Firstly, make sure the risk-return objectives of CSI300stock index futures arbitrage of model and the construction principle of CSI300stock index futures of arbitrage model. Then, to analyze factors to impact the CSI300stock index futures arbitrage. Finally, to establish the model of the CSI300stock index futures arbitrage, to construct the fluctuations which similar to the fluctuations in the sensitivity analysis, the stability of the model, and model checking and correction, to establish the final arbitrage model.Finally, Chapter five to achieve the application of CSI300stock index futures arbitrage model, dig out the dynamic changes in the market, the fixed cost and variable cost calculation is based on the basis of the spot selected, as long as there is a sufficient space of arbitrage, we can arbitrage more accurately and rationally through the proposed model in this article. Come to the suggestions on the development of China's stock index futures market, as well as shortcomings in this article, and the problems which need a further research. |
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