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# 15Ï uÀÆÆ(g,Æ) No.

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2013 c 9  Journal of East China Normal University (Natural Science) Sep. 2013

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ETF arbitrage research on China financial markets

CHEN Shi, WU Shu-jin, ZHENG Wei-an
(School of Finance and Statistics, East China Normal University, Shanghai 200241, China)

Abstract: This paper first proposed a new model to describe the relationship between
two paired asset prices: ax (t)Xt − ay (t)Yt = mt + st εt , where Xt and Yt denote the prices
of two paired financial assets at time t, ax (t) and ay (t) the matching coefficients, mt the
long-term trend, st the standard deviation of residual, and εt the standardized residual.
When ax (t), ay (t), mt and st are constants, the model is reduced to a kind of two-variable
cointegration model. Based on this new model, the paper proposed a statistical arbitrage
method for high-frequency trading using the stationary process {εt }. As its application,
this method was used on three major ETFs in China financial markets and achieved very
stable and high revenue on all three pairs.
Key words: high frequency trading; statistical arbitrage; stationary process

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ÂvFÏ: 2013-06
1ö: ¢, I, Æ¬ïÄ), ïÄên7K. Email: chen371502@163.com.
Ï&ö: Çã7, I, Æ¬, BÇ, ïÄên7K, Å©§. Email: sjwu@stat.ecnu.edu.cn.