Proceedings of the 2012 National Conference on Information Technology and Computer Science

An Algorithm for Spread Arbitrage Process in the CSI-300 Futures Market

Authors
Jiayue Xu, Hong Fan
Corresponding Author
Jiayue Xu
Available Online November 2012.
DOI
https://doi.org/10.2991/citcs.2012.120How to use a DOI?
Keywords
CSI-300 stock futures; Algorithm of spread arbitrage; Statistic arbitrage; Co-integration model
Abstract
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.
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Proceedings
2012 National Conference on Information Technology and Computer Science
Part of series
Advances in Intelligent Systems Research
Publication Date
November 2012
ISBN
978-94-91216-39-8
ISSN
1951-6851
DOI
https://doi.org/10.2991/citcs.2012.120How to use a DOI?
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  -