First, arbitrage strategy.
Algorithm trading strategy, spot portfolio rebalancing strategy and early liquidation or transfer strategy are the keys of spot arbitrage strategy. At present, under the domestic stock spot T+ 1 trading mechanism, the spot portfolio is converted into ETF, which realizes the arbitrage trading on the same day. Mainly use statistical arbitrage technology to realize butterfly arbitrage, cross-species arbitrage and cross-species arbitrage. In reality, it takes a long time to buy and sell constituent stocks, and the market situation changes rapidly. Therefore, in practice, people mostly use computer programs to conduct automatic transactions. That is, once the parity relationship between index spot and futures is broken, the computer will carry out arbitrage trading according to the pre-designed program.
Second, intertemporal arbitrage strategy.
Intertemporal arbitrage is usually carried out between futures of the same futures product with different maturities. Specifically, it is a transaction of buying or selling a short-term financial futures and selling or buying another long-term financial futures with the same underlying assets, and hedging and closing both futures at the same time when the short-term financial futures contract expires or before.
Third, the alpha arbitrage strategy.
Alpha arbitrage refers to the reverse arbitrage between index options or index futures and securities products with alpha value. Choosing or constructing securities products to realize alpha arbitrage is the key. In alpha arbitrage trading, the securities products with discount rate and excess return alpha are the first choice. The securities products with excess return ALPHA are the second choice of ALPHA arbitrage trading.