The Research On A Institutions' Calendar Spread Arbitrage Strategy And Risk Management

Futures is the product of the development of market economy, market economy, an integral part. The soul of the performance of futures investment mechanism, lies in its initiative, and any other forms of investment than the level of futures investment initiative is unique. Investment initiatives, to investors, not just a handling problem, it is a psychological level, investors desire to problems.Futures investment are numerous, such as speculative trading, hedging and arbitrage of the sex trade transactions, various forms of futures trading corresponds to different degree of risk. This paper from reality, in order to make full use of futures initiative closely linked to risk control mechanisms and the principle of choice in the form of cross-futures arbitrage arbitrage theme of a study of discourse.This paper is divided into five chapters. The first chapter is the background of the paper about the significance of the domestic situation, research methods and literature review, and the difficulties of the research and innovations. The second chapter introduces the futures pricing theory and arbitrage pricing theory. ChapterⅢcompares the different calendar spread arbitrage strategies and analyzes three typical cases of future arbitrage. Chapter IV is about the main cross-described forms of risk arbitrage trading and risk control strategy for intertemporal arbitrage. Chapter V is the summary of the paper, concluding the summary of the different risk arbitrage trading and risk control strategy, the trading conditions, the precautions and risk control requirements.Based on the inter-national commodity futures arbitrage strategy of comparative research, advocate for the futures market, futures investors, advocates a kind of sound investment-intertemporal arbitrage. The futures of this initiative and flexible forms of investment, its grasp, the most important thing is to grasp and control of risk, to be sure that in the futures market, investors in futures trading and grasp the level of awareness of the risks, decide his presence in this market cycle. In the perspective of risk control, this article selects the cross-theme of arbitrage trading strategies, presenting comparative study and the corresponding cases.