基于小波去噪和协整理论的股指期货高频数据跨期择时套利策略

On Arbitrage Strategy of Stock Index Futures Based on Wavelet De-Noising and Co-Integration Theory for High Frequency Data

近年来,高频交易策略因为其巨大的获利能力成为了投资领域研究的一个热点.由于股指期货合约在新上市首日和退市前几个交易日存在潜在的套利机会,该文对合约不同时间点进行套利的思想进行具体的实证分析研究.首先运用小波分析法对数据进行去噪,然后采用协整理论对数据进行协整分析和建模,最后进行跨期套利计算收益率.实证结果表明:采用小波去噪后的协整理论进行股指期货跨期套利,比采用传统的协整理论套利机会多,套利效果好.

In recent years,high-frequency trading(hft)strategy has become a hot topic in the investment field because of its huge profitability.This paper analyzes the potential arbitrage opportunity of stock index futures contract on the first day of listing and several trading days before delisting,and puts forward the idea of arbitrage according to different time points of the contract.Firstly,wavelet analysis is used to denoise the data,then cointegration theory is used to analyze and model the data,and finally,intertemporal arbitrage is used to calculate the return.The empirical results show that the intertemporal arbitrage of stock index futures using Wavelet de-noising co-integration theory has more arbitrage opportunities and better arbitrage effect than using traditional co-integration theory.