The Research Of Cross Commodity Arbitraging And The Empirical Tests In The Domestic Futures Market

In 2004,the State Council issued " on China's capital market reform and stable development of a number of opinions" since China's futures market started its rapid,standardized development, and the Futures Exchange is also the total amount of 10 trillion from 2004 to 2008 about the development of more than 72 trillion in size, with the introduction of new varieties in the coming years will continue to maintain a rapid development. In this context, cross-commodity arbitrage trading began to rise, but the domestic aspects of the cross-commodity arbitrage or because of historical reasons or because of insufficient data or because of lack of adequate arbitrage species studied very little. This article attempts to market the validity of this theory, mean-reversion theory, technical analysis theory to establish a basis for the theory of all the indicators have been quantified cross-commodity arbitrage model,used to guide the cross-commodity arbitrage trading activities. In this paper,after soybean and soybean meal,as well as wheat and corn prices and the spread of the historical data related test, unit root test, runs test to determine whether they meet the requirements arbitrage model. Finally the author of historical data, after finishing the simulation test arbitrage model and put forward the model shortcomings and areas for further research. Here's a brief description of various chapters.The first chapter introduces the background and purpose of this study, first of all the domestic futures market, the basic environment and development trends gives a brief introduction, noting that the domestic futures market will show explosive growth of cross-commodity arbitrage investors to demand increased, later in this chapter on the carry trade,the role of the inner drive and are described in this chapter is the last part of the main ideas and innovations of this research are described. One is to establish a set of cross-commodity arbitrage is suitable for most types of arbitrage model and quantify them to form a set of rigorous validation and transaction for the trading system; two moving average lines is the introduction of research methods, so that the model a more proximate markets; Third, in the collation of historical data on futures, using the contract-based docking with the main ways to avoid due to lack of liquidity caused by the various risks;4 is a cross-commodity arbitrage with the variety of data model was validated before the first varieties of strict applicability of the model test and improve the reliability of validation results.Chapterâ…¡first on the definition of arbitrage are set forth,and cross-commodity arbitrage trading classification, pointing out that studied in this paper belong to a broad cross-commodity arbitrage arbitrage. With a narrow arbitrage different, not only the broad sense, there is a risk arbitrage and the need to invest some capital. Last part of the literature review focuses primarily on domestic and cross-commodity arbitrage on various aspects of theoretical results.The third chapter is the core content of this paper is mainly divided into three parts.The first part describes the contents of this paper,the theoretical basis for arbitrage model. Including the efficient market theory,mean-reversion theory, stock market technical analysis theory introduction. The second part is to build cross-commodity arbitrage model, the main research method is to use the system to build models of the general ideas,entry point to Settings,and only the surplus-point settings, stop to set up and fund management measures to study a range of factors as well as strict definitions of the various factors. The last part of the model system of induction, including the model to adapt to the conditions, the model's basic rules and funding management practices and so on.Chapterâ…£mainly through the historical data of the arbitrage model validation.This chapter selected soybean and soybean meal and wheat and maize, two pairs of cross-commodity arbitrage species verified. First is two pairs of. varieties arbitrage model of adaptive testing,including related tests,unit root test and runs test. The subsequent history of the relevant species data were collated and summarized, according to the model rules of profit and loss of data obtained. The chapter concludes on the profit and loss data were derived from statistical analysis in tabular form lists the specific circumstances of each transaction, and conducted a comprehensive analysis.The main contents of Chapterâ…¤of this article's conclusions and to be further studied. According to Chapterâ…£of the tests concluded that:In this paper established arbitrage model has a high yield and stability, can be used for the actual transaction. The last part of this article focuses on the inadequacies of the model and areas for further study of the work:one to test the species is too small; 2, during validation, data collation methods there are certain problems; 3,the model is also a lack of reality check.4, only the method used to conduct arbitrage spreads study there are some limitations.