Chinese stock index futures arbitrage based on high-frequency data

被引：0
|
作者：
Wei, Zhuo [1 ]
Chen, Chong [2 ]
Wei, Xian-Hua [1 ]
机构：
[1] School of Management, Graduate University of Chinese Academy of Sciences, Beijing 100190, China
[2] Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2012年 / 32卷 / 03期
关键词：
Arbitrage opportunity - CSI 300 index futures - Futures-spot arbitrages - High frequency data - Index futures - No arbitrage - Stock index futures;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper used SSE50ETF, SSE Bonus ETF, SZSE100ETF to replicate underlying index to construct no-arbitrage band of CSI 300 index future, and analyzed the arbitrage opportunity and result for main contract of IF1005, IF1006 and IF1007. We found that three main contract exist arbitrage chances; compared to foreign bilateral arbitrage opportunities arise when the early introduction of index futures, CSI 300 index future shows unilateral arbitrage opportunities; compared to the constant arbitrage opportunities researched by simulation trading data, the actual trading data reveals arbitrage opportunities gradually reduced; the profits are less when many arbitrage opportunities exist, and there are more profits when arbitrage opportunities are less. In the end, we offered some investment suggestions based on our research.
引用
收藏
页码：476 / 482
相关论文
共 50 条
  • [31] Index arbitrage and the pricing relationship between Australian stock index futures and their underlying shares
    Cummings, James Richard
    Frino, Alex
    ACCOUNTING AND FINANCE, 2011, 51 (03): : 661 - 683
  • [32] Study on Future-Spot Arbitrage Strategies in China's Treasury Bond ETF and Treasury Bond Futures Based on High-Frequency Data
    Wang Si-lu
    Sun Wen-jun
    2014 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (ICMSE), 2014, : 1251 - 1257
  • [33] Execution Risk in High-Frequency Arbitrage
    Kozhan, Roman
    Tham, Wing Wah
    MANAGEMENT SCIENCE, 2012, 58 (11) : 2131 - 2149
  • [34] Volatility Analysis of Chinese Stock Market Using High-Frequency Financial Big Data
    Dong, Tongtong
    Yang, Bowei
    Tian, Tianhai
    2015 IEEE INTERNATIONAL CONFERENCE ON SMART CITY/SOCIALCOM/SUSTAINCOM (SMARTCITY), 2015, : 769 - 774
  • [35] Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures
    Chen, Yu-Lun
    Lee, Yen-Hsien
    Chou, Robin K.
    Chang, Ya-Kai
    JOURNAL OF FUTURES MARKETS, 2021, 41 (06) : 926 - 948
  • [36] Empirical Research of CSI-300 Stock Index Futures Arbitrage Strategy
    Bai Shi-qi
    Sun Wen-jun
    2014 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (ICMSE), 2014, : 1326 - 1332
  • [37] Intraday Return Forecasts and High-Frequency Trading of Stock Index Futures: A Hybrid Wavelet-Deep Learning Approach
    Liang, Dawei
    Xu, Yue
    Hu, Yan
    Du, Qianqian
    EMERGING MARKETS FINANCE AND TRADE, 2023, 59 (07) : 2118 - 2128
  • [38] High-frequency data and stock-bond investing
    Lai, Yu-Sheng
    JOURNAL OF FORECASTING, 2022, 41 (08) : 1623 - 1638
  • [39] A TRANSACTIONS DATA-ANALYSIS OF ARBITRAGE BETWEEN INDEX OPTIONS AND INDEX FUTURES
    LEE, JH
    NAYAR, N
    JOURNAL OF FUTURES MARKETS, 1993, 13 (08) : 889 - 902
  • [40] Do futures improve genetically trained high-frequency technical trading rules for the Chinese index ETF market?
    Pan, Beier
    Scheffel, Eric Michael
    EXPERT SYSTEMS WITH APPLICATIONS, 2024, 242
12345