The Research of ETF Arbitrage Decision Support System

Arbitrage function is one of the most significant functions of ETF (exchange traded fund). The purpose of this research is to establish an ETF arbitrage decision support system. Through the analysis of arbitrage mechanism and arbitrage costs, the paper sets up an accurate ETF arbitrage model, and then exploit the system rely on the model above. The operations of the system mainly comprise four steps: realtime data acquisition; data analysis; data early warning and data visualization. The system achieves real-time analysis and early warning for ETF arbitrage opportunities in financial markets. Empirical results indicate that the proposed model is accurate in monitoring and the early warning for the opportunity of ETF arbitrage, therefore, it gives effective support for the decision of investors.