Market arbitrage refers to the behavior of arbitrageurs in the foreign exchange market to make use of the quotation differences between different markets to conduct foreign exchange transactions in order to obtain risk-free profits.

In the market, there are two mainstream arbitrage methods: one is ETF arbitrage, which is simply the arbitrage between ETF funds and a basket of stock portfolios that make up ETF. And this kind of transaction is T+0, which can be traded many times a day. Earn only a little at a time, say, one in a million, but all these make up a tower. The golden age of this arbitrage was in 2005, which was the period of share-trading reform. When the share is changed into constituent shares and the trading is suspended, ETF pricing is chaotic, and the consideration for share reform is not calculated, so there is huge arbitrage space. There used to be institutions that used ETF arbitrage to earn more than 30% a day. Two years ago, because more investors knew about this arbitrage method, there is almost no room for this arbitrage method now, and the annualized income is 3%-4%. Another arbitrage method is asymmetric arbitrage by using stock index futures and stock spot trading. To put it simply, stock index futures contracts generally have a premium during trading hours and spot. When the contract is due for delivery, the settlement price of futures contracts is equal to the spot market value, which creates the possibility for investors to arbitrage. This way is also a T+0 transaction. The golden age of arbitrage is in the early days of the opening of stock index futures, that is, 20 10. At that time, the annualized income of arbitrage in this way can reach 20%-30%, which is risk-free arbitrage. The annualized income in the latest year is around 4%-6%.

At present, large institutions generally adopt secondary arbitrage operation. The stocks used are generally copied from the Shanghai and Shenzhen 300 Index, or from the Shanghai 50 Index, the Shanghai 180 Index, the Shenzhen 100 Index or their ETF funds. However, stock index futures and margin trading also make it possible to manipulate the securities market in the name of arbitrage. The only criterion to judge whether to manipulate the market is whether spot stocks and futures contracts are traded at the same time.