TITLE:
The Statistical Arbitrage Study of CSI 500 Stock Index Futures Based on Intraday Effect
AUTHORS:
Jianwen Zhang, Guoqiang Tang, Qiaofen Miao, Jingling Yang
KEYWORDS:
Intraday Effect, Virtual Variable Regression Model, Stock Index Futures, Statistical Arbitrage
JOURNAL NAME:
Open Journal of Business and Management,
Vol.7 No.3,
May
6,
2019
ABSTRACT: Taking
the CSI 500 stock index futures as the research object, the regression model of
dummy variables of five indicators, including high-frequency return rate,
volume change rate and near and far month contract price, was established. Then
test whether these five indicators are affected by intraday effect and carry
out statistical arbitrage based on intraday effect of spread. The empirical
results show that the CSI 500 stock index futures have obvious intraday price
fluctuations within 15 minutes of opening, and the intraday effect of the
near-month contract is more significant than the far-month contract. The
arbitrage strategy based on the intraday effect of spreading all the sample of
both inside and outside can achieve higher success rate and yield, which is suitable for the short-term arbitrage. In actual trading, given the
known probability of intraday profit, the intraday arbitrage method can provide
reference for trading operation and risk aversion, so as to avoid losses caused
by missed arbitrage opportunities.