An Algorithm for Spread Arbitrage Process in the CSI-300 Futures Market
Jiayue Xu, Hong Fan
Available Online November 2012.
- https://doi.org/10.2991/citcs.2012.120How to use a DOI?
- CSI-300 stock futures; Algorithm of spread arbitrage; Statistic arbitrage; Co-integration model
- With the development of modern capital markets, the stock index futures have become one of the most active investment instruments in the world. The arbitrage of stock index futures actually plays a very important role in making the price of stock index futures be rational and activating the market. In the present paper, we propose an algorithm of spread arbitrage process, which aims to improve the statistical arbitrage strategy of pairs trading based on co-integration. Firstly, the long-term relationships among index futures are detected by co-integration tests. Then the algorithm is applied to the IF1207 and IF1208 contracts of CSI300 futures in China to test its performance. The empirical results suggest that the average profit from spread arbitrage is statistically significant and the rates of return of spread arbitrage are very attractive.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Jiayue Xu AU - Hong Fan PY - 2012/11 DA - 2012/11 TI - An Algorithm for Spread Arbitrage Process in the CSI-300 Futures Market BT - 2012 National Conference on Information Technology and Computer Science PB - Atlantis Press SP - 463 EP - 466 SN - 1951-6851 UR - https://doi.org/10.2991/citcs.2012.120 DO - https://doi.org/10.2991/citcs.2012.120 ID - Xu2012/11 ER -