Factors Of Spreading In Commodity Future And The Construction Of Arbitrage Model

Arbitrage as a micro-economic behavior in human society has existed for hundreds of years, from classical to modern financial commodity arbitrage arbitrage, arbitrage acts as the social and economic development and the evolution of arbitrage capital has become a major capital market components. Arbitrage trading is volatile small, risky and suitable for the characteristics of the operation of huge amounts of capital determines the behavior to be the perfect functioning of markets arbitrage play, and improve market liquidity of the important forces.In this paper, the angle of re-interpretation of the risk arbitrage hedge operations, arbitrage through a high correlation between the two contracts hedging to speculation spread changes in the contract had actually been behind the hedge contract price of the risk factors affecting hedge , in a process of buying and selling, arbitrage operations on the obliterated part of asset price movements uncertainties in the impact on prices, leaving the relative price of factors can grasp some to speculate, so from the performance of Formally, arbitrage would be speculative price fluctuations into speculative volatility spreads. And thus how to hedge the uncertainties related to the contract to avoid, leaving the relative certainty of the factors to speculation, arbitrage strategy to become a core issue of good and bad. In this paper, Shanghai copper intertemporal spreads, for example, from the spread of the external conditions, dynamic analysis, seasonal analysis, empirical analysis of influencing factors to the spread in seven study areas and, based on results of the analysis designed arbitrage model, model shown a very high winning percentage.Innovations of this article is from the perspective of risk-arbitrage hedge operation of re-interpretation, and the idea of risk-hedging applied to actual combat and attain good results.