Shanghai Fuel Oil Futures Arbitrage

August 25,2004, fuel oil futures re-listed on the Shanghai Futures Exchange, it is an important milestone in the resumption of fuel oil futures of China. From then on,Shanghai fuel oil futures performed well, becoming more and more active, the market is stable, with effective risk control, and the spot price in domestic and international market become a linkage, international influence are rising and economic functions are gradually shown.According to the relevance in market price to research the arbitrage of Shanghai fuel oil futures,we can provide better guidance for enterprises to access to high economic efficiency, and seek more financing opportunities for domestic investors. And through analysis of the feasibility of arbitrage,we can do better on verifying pricing efficiency of the Shanghai fuel oil market,then provide the basis on more energy species futures for our country.This article is started from the status of Shanghai fuel oil futures' trading, on the basis of the research in theoretical,technology and methods of the futures' arbitrage at home and abroad,I Select the differences mean variance model and the trend model as the major models,then researched the Cross-market arbitrage, Intertemporal arbitrage and the arbitrage between cash and futures in Shanghai fuel oil futures market, these models show some resuls,we get the best price arbitrage positions,the Best time of arbitrage,then we use these get The best investment arbitrage program,and Carried out a benefit and cost analysis.at last,we could get a conclution that the maket of Shanghai fuel oil futures is Weak-effective,and provid some advices to improve the effection of it.