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

QIU Zhong-qun,CHENG Xi-jun (Dept.of Statistics and Finance,University of Science and Technology of China,Hefei 230026,China)  
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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