Research on the Intertemporal Arbitrage Strategy of CSI 300 Stock Index Futures

DOI

10.2991/assehr.k.200331.096How to use a DOI?

Keywords

intertemporal arbitrage strategy, statistical arbitrage, cointegration test, high-frequency data, pairing transaction

Abstract

With the great uncertainty of the stock market, stock index futures undertake the function of risk aversion, speculation and arbitrage. Intertemporal Arbitrage method is universally adopted in CSI 300 stock index futures. This paper analyses the theories of statistical arbitrage and high-frequency arbitrage firstly. Then the high-frequency data of 1 minute CSI 300 index future prices are used to conduct an intertemporal arbitrage strategy. Co-integration analysis uses historical data to analyze the long-term spread equilibrium relationship of different term contracts, so as to use the cointegration relationship to predict future spreads. When the market spread deviates from the equilibrium interval, an inter-temporal arbitrage strategy can be established. The backtesting results with the sample data and 60-minute pricing data prove that the strategy is feasible and obtains a certain arbitrage profits. The empirical result offers a practical plan for the research on futures arbitrage.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Chen Liwen
AU  - Liu Huangjin
PY  - 2020
DA  - 2020/04/02
TI  - Research on the Intertemporal Arbitrage Strategy of CSI 300 Stock Index Futures
BT  - Proceedings of the 5th International Conference on Social Sciences and Economic Development (ICSSED 2020)
PB  - Atlantis Press
SP  - 459
EP  - 464
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.200331.096
DO  - 10.2991/assehr.k.200331.096
ID  - Liwen2020
ER  -