基于协整理论的沪深300股指期货跨期套利研究

Research on the calendar spread arbitrage of CSI 300 stock index futures based on Co integration theory

现有的股指期货跨期套利大多是基于持有成本模型进行跨期套利,但由于此模型套利存在固有的缺陷,往往得不到理想的套利效果.统计套利提供了一种新的套利模式,少数利用协整理论进行套利的方法也还存在一些可以改进的地方.利用沪深300股指期货的实际交易数据,借助对现有的协整理论进行改进的套利方法建立模型,可以实施跨期套利.实证分析的结果表明,改进的协整策略可以取得较好的套利效果.

Stock index futures were mostly be arbitraged by using cost of carrying model,but the arbitrage effect was not well.Statistical arbitrage provided a new arbitrage mode.Some arbitrage models using Co integration in present can also be improved.An improved model is given by using Co integration theory.The empirical analysis result indicated that an ideal arbitrage effect can be realized by using the traded data of CSI 300 stock index futures.