Empirical Study On Cross Period Arbitrage Of CSI 500 Stock Index Futures

In 1970 s,The world oil crisis happened.The Bretton Woods system collapsed.These events make the development of the world economy becomes unstable.Financial markets have also been greatly affected.The level of interest rate volatility changes greatly.Stock price changes greatly.The financial market investors really need a financial tool to help them avoid these risks.The stock price index futures is produced under such background.The stock index futures have price discovery, risk management, asset allocation and other important functions in the market.In this paper, we select 5 minutes of high frequency data of IC1508 and 5 minutes high frequency data of IC1509 as the research object.The time range of the contract is from July 20, 2015 to July 31,2015.Statistical arbitrage is established under the premise of the mean reversion of the spread.Changes in external variables lead to the change of average price of the spread of the central nervous system. In this paper, the AR model is used to describe the spread.As with the general financial time series, the conditional variance of the price difference is variable.In this paper, the TARCH model is used to eliminate the conditional variance of the volatility and improves the validity of parameter estimation. On the basis of this, a new cross period arbitrage strategy is established.In order to illustrate the superiority of the new strategy, the new strategy and strategy based on fixed mean are compared.The study found that in the sample period and out the sample period, the new strategy is better than the strategy based on fixed mean.The new strategy not only made good gains in the sample period, but also made high income out the sample period for a period of time.This paper not only establishes a new trading strategy, but also explores how to implement the strategy by programming.This paper gives the program code of the transaction strategy.Finally,this paper takes the new strategy in the sample period as an example, discusses the influence of the important factors affecting the trading income, such as the margin ratio, the commission rate and the slip point.