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Calendar Spread Arbitrage Strategy Model for Index Futures Based on Co-integration Rule

Cheng Xi-jun

Abstract

With the index future of Hu Shen 300 about to be listed before long,simulating trading is occurring now.Some papers abroad indicate that statistical arbitrage strategy model on co-integration can find some arbitrage space in index future.We test the validity and efficiency of statistical arbitrage strategy model on co-integration through simulating trading data,and the results show that there also exists arbitrage space in index futures in China.

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Available abstract

Key concepts: Arbitrage, Index arbitrage, Statistical arbitrage, Futures contract, Index (typography), Risk arbitrage, Trading strategy, Financial economics