Research On The Arbitrage Strategy Of Cotton Based On The CTA Pattern

Futures market is not similar to the stock market, most investors can only be engaged in the original one-way speculative trading. The margin trading lever mechanism also magnifies the gains and losses, investment risk make the most investors be frustrated. As the market intermediaries, the futures companies are engaged in brokerage and futures investment consulting business (the latter was released less than half a year, but the futures companies feel the prospects slim), investors, the futures agency calls for market innovation, business innovation and the innovation of supervision, calls for futures companies relying on their professional research team and wind control system to study and imitate foreign CTA financing mode.There are speculation, hedging, arbitrage and other three kinds of transaction mode, this article summarizes the former researches on futures hedging and arbitrage, referencing for scholars of futures studies. We find that there are six characteristics first, the theory of arbitrage stays in the model, hypothesis, theory of argumentation stage; Ⅱ, on arbitrage variety research, most studies focus on the stock index futures arbitrage, only little research are relevant with ordinary commodity arbitrage, cross term arbitraging, cross market arbitrage; and, on arbitrage research, most scholars use statistical tools for mathematical verification, ignoring a variety of factors behind the commodity price fluctuation; the research on arbitrage strategy is lack of strategy execution, guarantee and evaluation issues in depth. Finally, the arbitrage, confined to academic discussion, is rarely seen from the perspective of futures company and industry chain enterprises. The discussion of commodity, ratio of hedge and arbitrage articles is extremely scarce.After the foregoing analysis, applying hedging theory, from the perspective of application, we discuss the foreign CTA business organization structure, function division and transaction mode, analyze domestic CTA business development regulatory environment, market environment and the feasibility, and we also discuss the human resources, risk control, financial strategy, evaluation mechanism and so on.The paper adopts normative research method, comparative study, empirical research method. from the "three-in-one" perspective,We discuss on the spot forward, futures pricing and arbitrage theory, construct arbitrage transaction model of the national cotton trading market and the Zhengzhou commodity exchange cotton; combined with the matching cotton and futures cotton historical transaction data, we discuss the cotton arbitrage space and arbitrage strategy,while exploring the futures company in the investment advisory business license.Studies suggest that:in the current regulatory environment, market environment, commodity cotton arbitrage is feasible, strategy is stable, the yield are more objective; to run the CTA business under the futures investment consulting business license is feasible, smooth, no legal obstacles; thus the futures company can share the financial income and the industry chain enterprises can change the operating mode. In addition, the futures companies shall pay attention to sugar, copper, rubber, soybean, ales and other commodities, study the arbitrage strategy, it is positive to personnel selection, product design, internal evaluation, marketing of CTA.