Minute-Scale Return Tails and Risk in CSI 1000 Futures

Summary

The report studies liquidity, volatility, and return distributions in the CSI 1000 near-month futures contract using minute bars over a specified 2024 sample. It examines log returns across several aggregation windows, compares full-session data with selected midday periods, and uses histograms, absolute-return contributions, volume, and open interest to characterize market behavior. It reports sharply peaked, heavy-tailed short-horizon returns, with tails persisting after opening and closing periods are excluded. The report also describes modest positive skew and higher trading activity during certain intraday intervals.

For strategy design, it recommends volatility-adjusted sizing, microstructure features, and tail-aware risk measures such as Student-t or extreme-value methods instead of relying on normality. These are research implications, not tested strategies. The report states that some numerical statistics were recalculated by the author because the source PDF lacked them, and its liquidity and cost observations apply only to the stated contract and sample. The displayed open-interest range appears internally inconsistent, so those figures should be checked against the underlying data before use.

Key ideas

• Short-horizon CSI 1000 futures returns are reported as sharply peaked and heavy-tailed.
• Heavy tails remain after selected opening and closing periods are removed.
• The report proposes volatility-based position sizing and tail-aware risk estimation.
• Volume and order-book features are suggested for identifying unusual market states.
• The findings cover one contract and sample period, and some statistics were author-recalculated.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.