Analyzing the impact on stock index futures market volatility of arbitrage

XIONG Xiong, LIU Jun, XU Hai-chuan, ZHANG Wei, ZHANG Yong-jie

Systems Engineering - Theory & Practice ›› 2014, Vol. 34 ›› Issue (3) : 623-630.

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Systems Engineering - Theory & Practice ›› 2014, Vol. 34 ›› Issue (3) : 623-630. DOI: 10.12011/1000-6788(2014)3-623

Analyzing the impact on stock index futures market volatility of arbitrage

  • XIONG Xiong1,2, LIU Jun1, XU Hai-chuan1, ZHANG Wei1,2, ZHANG Yong-jie1,2
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Abstract

We develop a cross-market simulation trading platform of stock and stock index future on the basis of MASON system with agent-base computational finance method. We analyze the impact of the number of arbitragers on stock index future market volatility using 5-second high frequent data. We find that too many or too few arbitragers will both make market fluctuate, so keeping appropriate number of arbitragers is very important for reducing market volatility and price discovery. Regulatory agencies should strengthen the efficiency and quality of supervision, to ensure reasonable investor structure, and keep the diversity of the types of investors.

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arbitrage / agent-base computational finance / stock index future / volatility

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XIONG Xiong , LIU Jun , XU Hai-chuan , ZHANG Wei , ZHANG Yong-jie. Analyzing the impact on stock index futures market volatility of arbitrage. Systems Engineering - Theory & Practice, 2014, 34(3): 623-630 https://doi.org/10.12011/1000-6788(2014)3-623

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