JOURNAL OF BEIJING UNIVERSITY OF AERONAUTICS AND A ›› 2015, Vol. 28 ›› Issue (4): 76-83.DOI: 10.13766/j.bhsk.1008-2204.2014.0172

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Stock Index Futures Intertemporal Arbitrage Under Variable Structure Cointegration

Fang Zhaoben, Wang Libin, Ye Wuyi   

  1. School of Management, University of Science and Technology of China, Hefei Anhui 230026, China
  • Received:2014-04-25 Online:2015-07-25 Published:2015-07-23

Abstract:

With the expansion of stock index futures market volume and strengthening of liquidity in China, changes in the spread between contracts is getting complex and varied.In order to improve the effectiveness of traditional intertemporal arbitrage strategy, the authors use the variable structure cointegration model for modeling spreads, designing a complete program trading strategy, and select ing IF1311, IF1312, IF1401 and IF1402 real high frequency trading price data for the research. The results show that with the presence of the prices mutation of the stock index futures market prices and the new model, the strategy can capture more trading opportunities and improve the yield compared to conventional models.

Key words: stock index futures, intertemporal arbitrage, variable structure cointegration, high frequency data, trading strategy

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