高频交易的跨期套利策略研究

Intertemporal Arbitrage Strategy for High-Frequency Trading

高频交易的兴起为机构投资者带来了新的盈利机会。高频交易的跨期套利成功与否,关键在于能否正确识别价差处于异常水平的点。通过Pearson相关系数、平稳性检验和协整性检验,找到一组具有强相关关系的同一商品的不同交割月份的期货合约。基于均值回归理论,建立了高频交易的跨期套利模型,确定了套利区间。通过对高频交易的跨期套利策略进行研究,旨在为相关投资者提供一个可行的分析方法,使得投资者能够更好地把握套利的机会,进而实施套利操作。

New money-making opportunities have been brought for institutional investors with the rise of High-Frequency Trading. It is the time to arbitrage when the price gap of a set of futures contracts for the same commodity in different delivery months is too wide. Pearson correlation coefficient, stationarity test and co-integration test are used to find a set of futures contracts with strong correlation. Based on the theory of Mean Reversion, we established an intertemporal arbitrage model of high-frequency trading and arbitrage zone. it is significant for us to provide a feasible analysis method for relevant investors and investors can grasp the arbitrage opportunities better.