Research On Oil Futures Spread Based On The Risk-Profit Model

Spread behavior of Futures is one of important mechanisms which makes market price tend to the normal level by increasing market liquidity. Usually, Spread is considered of low risk, which is an effective means of sustainable profitability. But in the last for years, significant loss of international hedge fund spread idicates that the risk is still high. Therefore, it is still the core problem that how to balance between risk and profit.This dissertation consists of six chapters. The first chapter is an introduction of previous studies and puts forward the research ideas. The second chapter is futures pricing and spread pricing theory. The paper elaborates the principle of spread by Cost of Carry Model and Capital Risk Premium Model. The third chapter dissects the oil futures price fluctuation characteristic, and states the spread relationship amoung oil futures by applying the ARCH model and cointegration theory.The fourth chapter analyses the types of spread risk and puts forward the optimization ideas of the Risk-Profit Model.The fifth chapter builds the model based on the robust optimization model of futures spread,the optimization model based on the Skew-kurtosis risk,the optimization model based on the H-L PM risk and the spread optimization model of tracking error under the limit of CVaR, which analyses the risk and the control methods is put forward.Meanwhile, the paper verifys the model, using relevant market data. Finally, there are the conclusions, inadequate and prospects.The main work of the paper is shown as follows:First, the paper statistics their characteristics and analysis the dynamic relationship among three kinds of Chinese grease by using the ARCH model and co-integration theory.Meanwhile, it shows that the three between spread with feasibility.Second, the paper creates a continuous declining marginal cost model under robust control to study endogenous risk spread,which is through different demand functions in order to achieve maximize gains in discretionary conditions.We use the influence of short-term demand change to price to measure market liquidity in this model. Most hedge funds will suffer when market liquidity significantly decreased.In addition, the intensity of competition will change hedge funds which would affect potential arbitrage profits. As more hedge funds enter the market, expect the spreads to more and more small and price difference reduced speed will slow down.Third, the dynamic futures spread was studied based on the significant risk control. Skew and kurtosis parameter constraints are introduced to the mean-variance model. The research shows that the probability of negative income will sifnificantly be reduced by controlling the skews and kurtosis. Furthermore, The paper introduces personal expectation utility function so as to take flex spread strategy to achieve the goal for different risk preference investors.Fourth, oil futures spread are studied based on asymmetric attitude of the arbitrager on gains and losses.Through the introduction of risk factor partial moment method to the model, it characterizes the arbitrage of the losses and benefits of asymmetric attitude. The partial moment above the expected return, which reflects win; The partial moment below expected return reflects loss. The spread portfolio risk by using a linear combination of partial moment yields is measured, which describes effectively asymmetrical attitude of the hedges to loss and profit.Fifth, the tracking error model that is constrainted by the conditional value at risk reflects the trader’s learning ability of spread performance, meanwhile, which promots the investors to control the risk positively. It indicates that the model can promote the efficient of spread and rate of return by calculating with CVaR in the different degree of confidence.