Futures Statistical Arbitrage Model Based On Volatility And Empirical Research

With the comprehensive opening up of the domestic financial market,foreign institution will continue to intervene in China’s financial market.It can be predicted that the competition pattern,asset pricing,market liquidity and trading means in the exchange market of China’s financial market will change accordingly.As a neutral stragety,statistical arbitrage is more mature in foreign financial markets,and it is bound to get better development in China.Different from the west,for a long time,the participating groups of the financial exchange market in China are mainly retail investors,which leads to the characteristics of the exchange market in China,such as chasing after the rise and fighting againt the fall,and huge fluctuations.From the perspective of futures market,influenced by the supply-side reform,the martket fluctuations in recent years show obvious characteristics of agglomeration and leverage.Statistical arbitrage is based on the advantages of computer technology,which can obtain stable returns at a low risk level,and can timely find unreasonable pricing in the market,so as to help assets recover reasonable price level and improve market efficiency.Therefore,the study of statistical arbitrage in the futures market conforms to the needs of market development,and the study of futures price fluctuation has certain reference significance for the timing selection of statistical arbitrage trade.In this paper based on empirical research,statistical arbitrage is applied to Shanghai nickel futures to test the performance differences under different volatility.Specific research contents are as follows:(1)Taking futures market varieties as the research object,the correlation between intraday volatility and intraday trend tracking strategy performance was discussed.In this paper,the influence of intraday volatility on intraday trend trading is comprehensively explored by comparing the strategic performance of the same variety with different intraday volatility and the varieties with different intraday volatility in different periods.(2)Using the co-integration principle to test the long-term equilibrium relationship between Shanghai nickel Ni1906 and Ni1907,the co-integration coefficient was established as the paired trade coefficient of statistical arbitrage,and the test results showed the feasibility of statistical arbitrage trade.Based on the above research,firstly,this paper found that intraday trend trading performance is better when intraday volatility increases.Then this paper constructs a statistical arbitrage trade model and tests,optimizes the data in the sample,confirming the feasibility of the actual trade.In the out of sample test,this paper selected the price series of different intraday volatility stages as the research object,and compared the performance of the statistical arbitrage model under different intraday volatility.The conclusion of this paper is that the intertemporal statistical arbitrage performs better when intraday volatility rises.Therefore,from the perspective of intraday volatility,it can provides an effective basis for the selection of the timing of statistical arbitrage.