Statistical calendar spread arbitrage strategy using intraday high frequency data of the Shanghai and Shenzhen 300 stock index futures
Author(s): LI Le, ZHANG Chunyi, YANG Zhishu, School of Economics and Management, Tsinghua University
Pages: 1080-1086
Year: 2014 Issue: 8
Journal: Journal of Tsinghua University(Science and Technology)
Keyword: stock index futures; statistical arbitrage; calendar spread arbitrage; high frequency arbitrage;
Abstract: This study analyzes statistical calendar spread arbitrage strategies based on intraday high frequency data for the Shanghai and Shenzhen 300 stock index futures using a model designed to explain the price spread between two Shanghai and Shenzhen 300 stock index future contracts and a model to trigger or stop arbitrage trades.The two models are then combined into a single arbitrage strategy algorithm for Shanghai and Shenzhen 300 stock index futures with methods given to estimate the proper model parameters.A half second of sample data is used to empirically validate the algorithm’s effectiveness with a strict hypothesis on transaction cost.
Pages: 1080-1086
Year: 2014 Issue: 8
Journal: Journal of Tsinghua University(Science and Technology)
Keyword: stock index futures; statistical arbitrage; calendar spread arbitrage; high frequency arbitrage;
Abstract: This study analyzes statistical calendar spread arbitrage strategies based on intraday high frequency data for the Shanghai and Shenzhen 300 stock index futures using a model designed to explain the price spread between two Shanghai and Shenzhen 300 stock index future contracts and a model to trigger or stop arbitrage trades.The two models are then combined into a single arbitrage strategy algorithm for Shanghai and Shenzhen 300 stock index futures with methods given to estimate the proper model parameters.A half second of sample data is used to empirically validate the algorithm’s effectiveness with a strict hypothesis on transaction cost.
Related Articles