In the spot arbitrage trading of stock index futures, the actual spot stock portfolio and index stock portfolio are rarely exactly the same. At this time, the future trend or regression of the two may be inconsistent, which may lead to certain errors. This kind of error is usually called analog error. The simulation error comes from two aspects. On the one hand, there are too many constituent stocks that make up the index, such as S& etc. The P500 index consists of 500 stocks. It is difficult to buy or sell so many stocks at the same time in a short time.

Large and precise simulation will greatly increase the transaction cost. Usually, traders will replace the index by constructing a small sample of stock portfolio, which will produce simulation error. On the other hand, even though there are not many constituent stocks that make up the index, such as the Dow Jones Industrial Average, which consists of only 30 stocks, because most of the indexes are built according to the market value ratio, it is very likely that strict proportional replication is difficult to achieve due to the restriction of the minimum marketing unit. For example, if the structure is proportional,

As a result, it is impossible to buy and sell some stocks below 100 shares, that is, the minimum unit stipulated in stock market trading is below 1 lot. This will also produce simulation errors. In addition, the leverage mechanism and compulsory liquidation system of futures trading are likely to make arbitrageurs face the risk of compulsory liquidation, thus affecting the arbitrage effect.