Arbitrage trading is a trading method of buying one futures contract and selling another futures contract at the same time. The futures contracts here can be different delivery months of the same futures product. It can also be a contract between two interrelated different commodities. It can also be the same commodity contract in different futures markets. Arbitrage traders make one more futures contract and short another. Making a profit by changing the price difference between two contracts has little to do with the absolute price level. Futures arbitrage trading has become a major trading mode in the international financial market. Because of the stable income and relatively small risk, most large funds in the world mainly participate in the futures or options market by arbitrage or partial arbitrage.

Arbitrage of stock index futures refers to the behavior of taking advantage of the unreasonable price of stock index futures market, participating in the trading of stock index futures and stock spot market at the same time, or trading stock index contracts with different maturities and different (but similar) categories at the same time to earn the difference. Stock index futures arbitrage is divided into futures arbitrage, intertemporal arbitrage, cross-market arbitrage and cross-variety arbitrage.

The foreign exchange market can also carry out arbitrage transactions. For example, investors can borrow low-interest currencies (such as Japanese yen and Swiss francs) from banks and other institutions, and then convert them into assets in high-interest currencies (such as Australian dollar, New Zealand dollar and British pound) in the foreign exchange market. Because the interest earned by holding high-interest currency is much higher than the interest paid by borrowing low-interest currency, if this difference can also make up for the possible losses caused by exchange rate fluctuations, there will be profitable arbitrage transactions in the foreign exchange market. Once this kind of transaction prevails in the foreign exchange market and is recognized by most market participants, low-interest currencies will continue to be sold short and high-interest currencies will continue to be bought. The end result is that the low-interest currency continues to depreciate and the high-interest currency continues to appreciate. This gives investors not only interest margin income, but also exchange rate income.