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Life-cycle Research of A-H Share Arbitrage Performance Based on Discrete-event Simulation

This paper1 constructs a discrete-event simulation model to simulate the patterns of life cycle of quantitative arbitrage trading strategies' performance between China A-share stocks and its H-share stocks. It extends previous simulation model under zero-sum game assumption to a non-zero sum game model in order to cover the randomness of arbitrage information coefficient (IC) and the impact to arbitrage capital by Stock-exchange Connect events of A-share market and its H-share market. The simulation research shows the outcome of this model is close to average arbitrage performance of several different strategies and the model has potential to predict life cycle of any arbitrage strategies.