Research on Gold Option Arbitrage Strategy of Shanghai Stock Exchange Based on Pair Trading
This paper analyzes the existence of arbitrage opportunities in the gold options market of the Shanghai Futures Ex-change through empirical research,and selects AU2006C364 and AU2006C368,which have the strongest cointegration relation-ship,from 60 on 59 trading days from December 24,2019 to March 24,2020.The minute high-frequency data is used as the for-mation period,and the optimal opening,closing and stop-loss thresholds are obtained through the traversal method and applied to the trading period.Finally,a good annualized return rate is obtained,which proves that the paired trading strategy has gold op-tions in the previous period.Effectiveness in the market.
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