Application of High-Frequency Arbitrage in Stock Index Futures Based on TradeBlazer Language

Arbitrage is a common kind of way to invest the stock index futures,due to its low risk and moderate incomes,is favored by many institutional investors.But it is such a way of trading requiring high frequency and speed that the profit opportunities are easily fleeting.Consequently,it should be operated with the help of the program trading.The following is based on professional quantitative trading software TradeBlazer,from the empirical view of the point,uses the high-frequency data to construct the arbitrage strategy of the mean reversion.It provides the institutional investors with a feasible framework of the calendar spread arbitrage.