| Arbitrage is a kind of hedging strategy in portfolio investing, as a mean approach to evade future trading risk, it's been world wildly used by all kinds of invest funding and other financial institution. In the matured commodity future markets, the percentage of arbitrage trading in total trading volume is more than 40%. As the outcome of market economic, arbitrage trading gradually developed in Chinese future market. In the year of 2005, Chinese future market experienced great fluctuation, even inventors stand on the right base of future pricing moving, they were keeping losing money. But arbitraging scales kept increasing with a unique feature of stability and profitability.The market non-efficiency is the surviving solid of arbitraging, and the flourish of arbitraging promotes the market efficiency. There are three basic pattern of arbitraging, cross market arbitraging, cross term arbitraging and cross commodity arbitraging. One price law is the primary principal of cross market arbitraging, the holding cost and basis departure derivate out the cross term arbitraging and without correlation there will be no the existing of cross commodity arbitraging. Based on the non-arbitrage idea, within an equilibrium market, arbitrage opportunity fade away, so the un-equilibrium is the normal situation of market, and effectively arbitraging do exist everywhere. And in a maturing market, arbitraging can even earn amazing profit.This thesis is not armed at a detailed theoretical discussion for the attractive arbitraging actives in Chinese market, but from a more wild perspectives to observe arbitraging and to summarize the various arbitraging behaviors and to make further enlargement in the field of arbitraging concept, feature, mechanism based on the existing foundation... |
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