Research On Intertemporal Arbitrage Of Natural Rubber Future

The thesis is based on Intertemporal arbitrage theory,and analysis the natural rubber future with Eviews and Spss.The thesis first gives a thorough theoretical background on the intertemporal arbitrage home and aboard, based of which the superiority and feasibility of intertemporal arbitrage is further discussed. Within the theoretical knowledge, the thesis develop a penetrating analysis into the natural rubber types, the distinguishing features of natural rubber futures and the natural rubber future marketing system.Through the natural rubber future marketing data from 2002 to 2007, the thesis develops cointegration statistical methods into the analysis of the data , which comes to the conclusion that the natural rubber future marketing system is not effective, and a short-dated deviation of the natural rubber future would lead to a phenomenon of diverging from a long term balance and the short-dated deviation would finally be erased to create a long term balance. Then build a arbitrage model which includes the reasonal area and unreasonable area.The experimental test on the arbitrage model originating from the statistical results and the historical data shows that there is always an intertemporal arbitrage chance every year in the natural rubber future marketing system.The intertemporal arbitrage is able to provide a objective investing profits for the investors,and the reseach is meaningful.