An Empirical Study of Calendar Spread Arbitrage Based on High-frequency Data: The Case of CSI 300 Index Futures

被引：0

作者：

Kou Yi ^{[1
]}

Wang Chao-you ^{[1
]}

Ye Qiang ^{[1
]}

机构：

[1] Harbin Inst Technol, Sch Management, Harbin 150001, Peoples R China

来源：

2013 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING (ICMSE) | 2013年

关键词：

calendar spread arbitrage; co-integration; high-frequency data; index future; STATISTICAL ARBITRAGE; COINTEGRATION;

D O I：

暂无

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

Based on high-frequency data of CSI 300 index futures, this paper studies the profits of calendar spread arbitrage in the CSI 300 index futures market. This paper tests the co-integration relationship between two series of prices which are from two contracts with different delivery days. According to the theory of calendar spread arbitrage, we proposed a strategy which is effective in practice. Moreover, we test the effectiveness of this strategy using historical market data and record the opportunities and profits of arbitrage. The results show that there have been opportunities for calendar spread arbitrage since CSI 300 index futures launched. However, as the market is becoming mature and more traders enter in the market, the profits of calendar spread arbitrage are decreasing gradually.

引用

页码：1604 / 1609

页数：6

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