Study On Rebar Futures Arbitrage

The thesis is based on intertemporal arbitrage theory, and analysis the arbitrage on Shanghai Futures Exchange futures with what learned during the internship and EVIEWS.The thesis first studies its basic theoretical knowledge on the domestic and foreign arbitrage, and discuss the feasibility of futures intertemporal arbitrage by the point of the inter-period futures arbitrage theory and practical significance, then introduce the futures arbitrage corporate clients'cross-phase mode of operation through the introduction of the Shanghai Stock Exchange of rebar varieties. Practice has proved that corporate clients'arbitrage analysis method can achieve stable profitability in the futures market and access to certain benefits.The thesis studies intertemporal arbitrage research on the Shanghai Futures Exchange futures, first proves the feasibility of arbitrage through the unit root test and establishments the relevant model to analyze the data , then found that comparing with the corporate clients'actual inter-period arbitrage operation, the results on the arbitrage model is not weaker.The thesis confirms the earnings stability of inter-period income arbitrage, and gives a set of controlling risk methods in the futures market for the general investors by collecting academic research and practical operation, The intertemporal arbitrage is able to provide an objective investing profits for the investors, and the research is meaningful.