Study On The Cross-period Arbitrage Strategy And The Effectiveness Of The CSI 300 Stock Index Futures

Throughout the 2018 Chinese stock market,the overall market is not optimistic,and the future trend is difficult to predict.From January 2018 to October 2018,the Shanghai Index fell from its highest level of 3587.03 to 2449.20,continuing to decline over a 10-month period.And individual stock prices fell more sharply,investors suffered serious losses,the market is in a pessimistic mood,investment risks and returns are extremely mismatched.From the macro-economic point of view,with the overall decline of the economy in 2018,the development trend of “deleveraging” has affected the development of the real economy to some extent.Due to the lack of capital and performance support for enterprises,coupled with the great uncertainty about the future of the stock market due to the trade frictions between China and the United States,and the constraints of trading rules,the current investment in stocks may have to face a high-risk,low-yield investment environment.Compared with stocks,stock index futures are high-risk and high-yield investment methods.At the same time,stock index futures allow short selling and T+0 trading rules,giving investors a great initiative.Since its launch in 2010,the stock index futures market system has been continuously improved,and the participants and trading volume have reached a higher scale,so they have the basic conditions for arbitrage.In this context,this paper uses the statistical arbitrage idea to design the arbitrage strategy with the Shanghai and Shenzhen 300 stock index futures.Firstly,this paper sorts out the research on statistical arbitrage and high-frequency arbitrage at home and abroad,then summarizes the basic concept of CSI 300 stock index futures contract and the related theories of finance,mathematics and statistics in the arbitrage strategy.And summarizes the framework of the arbitrage strategy of the paired transaction,and provide a theoretical basis for arbitrage.Secondly,this paper designs arbitrage strategy based on every 1 minute data of CSI 300 stock index futures trading day.According to the holding cost pricing theory,this paper constructs the equilibrium relationship of the price difference between CSI 300 "current month" and "next month" contract,calculates the conditional mean and conditional variance at each time point using the corresponding mathematical and statistical methods,and construct a reasonable fluctuation range of the price and the upper and lower limits of the stop loss at each point,then design the trading method and the arbitrage rule around the actual spread and the arbitrage interval,and derive the calculation method of the yield.According to the designed arbitrage strategy and out-of-sample data,this paper calculates the rate of return under the condition of optimal parameters,and analyzes the rate of return itself to see if it has the regularity or not.Again,based on the above analysis,verify the effectiveness of the strategy.In addition,this paper uses the daily rate of return of arbitrage as the explained variable,and selects the corresponding index as the explanatory variable from the market conventional risk,market friction and market sentiment,so as to establish the model for regression analysis.Finally,chapter 6 is the research results,suggestions and shortcomings of the study.hrough the design,measurement,analysis and test of the whole arbitrage strategy,the conclusions obtained in this paper are as follows:(1)The arbitrage strategy can effectively price the spread.The equilibrium spread structure is stable,and the arbitrage interval constructed by the conditional mean and the conditional variance can effectively explain and judge the fluctuation of the spread,which means that the arbitrage strategy is effective for pricing the spread.(2)There are many arbitrage opportunities in stock index futures from the perspective of high-frequency cross-term arbitrage strategy.The time series of equilibrium spreads have obvious fluctuations in a relatively stable space.its distribution is similar to bell type,and there is obvious thick tail phenomenon,which means that there are more time points that deviate from the mean,and the deviation points of these spreads are potential arbitrage opportunities.(3)Arbitrage strategy trading rules can effectively control arbitrage gains.At the end of each trading day,the arbitrage account is in an empty position,which locks in the gains of the day and avoids overnight risks.In the actual arbitrage,the interval is designed according to the optimal parameters,the transaction is controlled within a relatively reasonable range,and there is no correlation between the daily yields,and the arbitrage behavior is independent,indicating that under the constraints of the trading rules,the strategy can achieve stable and effective operation.(4)The arbitrage strategy can effectively avoid market interference.From the empirical results,only the market value factor and the book value-to-market ratio factor are significantly related to the rate of return in the market’s conventional risk factors.And Market friction factors and market sentiment factors do not interfere with the rate of return.Overall,only two indicators have significant impact,indicating that the arbitrage strategy can avoid major interference from the market,and the arbitrage strategy can be stable and effective.Therefore,from the four aspects of pricing,arbitrage opportunities,income control and anti-interference,the arbitrage strategy designed in this paper can effectively operate in the stock index futures market and achieve profitability.Based on the above conclusions,this paper puts forward the following countermeasures and suggestions:(1)When using a similar pairing trading strategy for arbitrage,the time of entry should be carefully selected;(2)High-frequency arbitrage has a large operational risk,and investors still need to be cautious when using it;(3)The design of control parameters of arbitrage interval should be large and not small;(4)Investors should close their positions every other day,lock in returns and reduce transaction costs;(5)The paired trading arbitrage strategy is derived from other financial markets.(6)The regulator observes market dynamics from an arbitrage perspective and enriches market supervision indicators.