Chinese Metal Futures Arbitrage And Risk Management Research

Since the Shanghai Future Exchange (SHFE) was born, the metal futures with its special merchandise characteristic and financial attribute won the favor of domestic and international investors. The dealing capacity rises year by year, copper futures is the biggest futures species of SHFE currently. The bargains of the copper and zinc futures engaged in the arbitrage between SHFE and LME enlarges year by year, having become the important factor that affects the copper and zinc price trend.But the question about the existence and orderliness of copper and zinc futures arbitrage in SHFE is still sensible but not rational to most of the Chinese investors. This text expatiated the academic basis and real condition of copper and zinc futures arbitrage in SHFE, tested the frequency and orderliness of which, analyzed the most important factors affecting which and provided the strategy to improve which.This text studies relevant theories of arbitrage and analyses price and return of Cu-Zn main contract in SHFE from September 2008 to December 2010, which draws a coefficient correlation of copper and zinc by utilizing data statistics, making a positive research on this arbitrage behavior, and putting forward copper and zinc arbitrage program in SHFE at the same time.This text studies systematically on copper and zinc arbitrage based on mathematical prediction mode and risk management, offering the reliable theory data for hedge funds. Result of this study can be utilized directly by hedge funds, who can obtain better investment return by applying this study result.And practicing metal arbitrage can help our country's hedge funds to know well and be more familiar with how to utilize the domestic and international futures market to serve Chinese investors.