The special increase in the trading volume of stock index futures contracts reveals that these tools are concerned by a wide range of market participants. It is generally believed that the link between the chain prices of a basket of stocks and futures is to maintain arbitrageurs. If this is the case, then investors who are determined to trade will admit that these markets are perfect substitutes, and the choice between them will be based on convenience and their transaction costs. However, researchers are worth reporting; In fact, Rubinstein (1987, p. 84) concluded: "Growth, index futures trading continues to use excess funds for arbitrage."

People pay great attention to arbitrage strategy, stock index futures and their influence on the market, especially on expired contracts. In contrast, one thing is work. Starting with the chapter on fair value, we study the transaction data. For the S&P 500 stock futures contract and the S&P 500 stock index with one-minute quotation, our goal is to study the reaction of these prices to the traditional arbitrage strategy.

First of all, it is difficult for silicon to specify a model to form the "fair value" of the decision-making futures price.

In the case of these deviations, it is known that the valuation model of order flow and parameters between participants with different opinions provides "fair value". The traditional strategy is to pursue arbitrage when these deviations are not risk-free, and further affect them through transaction costs. The purpose of this chapter is to study the deviation of these empirical behaviors. In doing so, we put forward some assumptions about the effectiveness of our research.

Given that market participants will try to use these as profit opportunities.

In section 1 1. 1, after discussing some behaviors, expenditures and price indices considered, we describe famous and commonly used pricing models. 1 1.2 provides empirical results, while our cheating clude is in 1 1.3.