Semi-strong efficient market means that the price of securities has fully reflected all the public information (including historical information) of securities. At this time, technical analysis and basic analysis are invalid in the market, and insider information may get excess returns.
A strong efficient market means that the price of securities has fully reflected all the public and undisclosed information of securities. At this time, there is no way to help investors get excess profits, and the price of securities reflects the intrinsic value of securities.
The strong efficient hypothesis holds, and the semi-strong hypothesis holds; The semi-strong efficient hypothesis holds, and the weak efficient hypothesis holds. If the market is weak and efficient, it is meaningless to study the arbitrage of stock index futures through historical information. Therefore, the market efficiency theory is the basis of this paper. If the stock index futures market is weak and efficient, then the statistical arbitrage model based on historical data in this paper will lose its meaning.