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The Statistical Arbitrage Study of CSI 500 Stock Index Futures Based on Intraday Effect

机译：基于盘中效应的沪深500股指期货的统计套利研究

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摘要

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.
机译：以沪深500指数期货为研究对象，建立了高频收益率，成交量变化率和近月与远月合约价格五个指标虚拟变量的回归模型。然后测试这五个指标是否受盘中效应的影响，并基于点差的盘中效应进行统计套利。实证结果表明，沪深500指数期货开盘后15分钟内具有明显的盘中价格波动，近月合约的盘中效应比远月合约更为显着。基于盘整内外样本的盘中效应的套利策略可以获得较高的成功率和收益率，适合于短期套利。在实际交易中，鉴于已知的盘中获利概率，盘中套利方法可以为交易操作和规避风险提供参考，避免因套利机会错失而造成损失。

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