Recently, the arbitrage trading model developed by Xiao Li's team has entered the actual testing stage. Through the test, it is found that in the arbitrage trading of stock index futures, it is often found that some arbitrage transactions are closed because the purchase or sale application amount corresponding to the target price is not up to standard, which leads to the risk exposure of arbitrage trading. After the problem appeared, Xiao Li asked the risk control department of a well-known futures company in Shanghai for advice in time.

"When one side of the arbitrage trade completely closes its position, while the other side does not completely close its position, but only partially closes its position, this situation is called" risk exposure in the arbitrage trade ",which is mainly based on the fact that the excess part of the arbitrage trade is actually in a single speculative state because there is no corresponding reverse position protection. In this case, it is necessary to close the unilateral position of arbitrage trading in time to prevent losses caused by reverse price fluctuations. " The staff of the risk control department of the futures company answered.

"For the sake of saving transaction costs, is it appropriate to wait until the other side of the reverse position has the opportunity to make up the position?" Xiao Li then asked.

"On the surface, it saves transaction costs. In fact, it is a small gain at the expense of taking a large risk exposure, which is not worth the loss from the perspective of risk control; Moreover, from the perspective of internal control, we do not use the distinction between arbitrage trading and directional trading business. " The staff of the risk control department of the futures company answered.

"Arbitrage trading is completely different from ordinary directional trading in trading strategy and business process. If excessive unilateral trading fails to close the position in time during the execution of the arbitrage trading plan, it is actually a directional trading, which is an ultra vires behavior and a violation from the perspective of internal control. Seriously, this kind of directional transaction may cause great economic losses to the organization if it opens a large number of positions or encounters large price reverse fluctuations. " The staff of the risk control department of the futures company answered.

Risk warning: Arbitrage trading is completely different from ordinary directional trading in trading strategy and business process. One side of the arbitrage transaction is completely closed, and the other side is not completely closed, but only partially closed. When there is risk exposure, it is necessary to close too many unilateral positions in arbitrage trading in time to prevent the occurrence of directional trading.