Strategy Analysis On Intertemporal Arbitrage Of PTA Future

The higher leverage of Futures investment not only bring huge returns for investors, but also bringhuge risk.For investors, therefore, to find a low-risk-tool that can get higher return with little risk is veryimportant. And Arbitrage can meet this needing. At the same time, intertemporal arbitrage has been usedmore and more investors for its easiest operation and the shortest trading period,compared with theother three ways—intermarket-arbitrage,interproduct-arbitrage and time-present arbitrage.Due to the futures market is not always effective, it’s occasionally "invalid" make the price marginbetween different contracts of same commodity futures occur fluctuation,that provided us withparticipation of arbitrage opportunities.When faced with the price margin of two commodity contractgetting complicated, investors how to choose the opportunity to enter the market, how to judge thedirection of arbitrage, what’s the best opportunity to close position to gain maximum profits, and, Whenthe judge mistakes, how to prevent the further expansion of lost, is the focus of this paper.This paper based on the detail description of the history of intertemporal-arbitrage, researchprogress, and the theoretical basis, ordering the Zhengzhou Commodity Exchange PTA products asobjects, by exploring the characteristics and distribution of the spread between its different deliverymonth contract, establish a model-arbitrage and trends-arbitrage models. At the same time, made anempirical analysis on the two models respectively with the Zhengzhou PTA futures trading data, andevaluate its empirical results. Existing informations use more discussion in the arbitrage operationswhich based on the market situation,such as bull spread,bear spread or butterfly spread. Two arbitragemodel presented in this paper is more concerned about the characteristics of price margin. In thearbitrage model study, according to the historical data of statistics, and spreads out the reasonable andunreasonable interval, and make the systematically described to the arbitrage process.Trend arbitragemodel establishment is the process that find the general trend of price fluctuation and the trend ofturning point by using the trend of high and low point algorithm, then accordingly find out the entryopportunities.By analyzing the empirical results, this paper argues that the model arbitrage investmentopportunities though rarely found, but each operation can be profitable, and trends-model can find morearbitrage opportunities,but have the possibility of failure. The two complement each other. And if combined to use in practice there will be a very good returns.In the ending of this paper,we alsoanalyzed the risk in the intertemporal arbitrage,and some risk control recommendations were given.Inthis paper, we studied the intertemporal arbitrage strategy for investors to some extent in practice helpmake the right trading decisions, and investors, in practice it can also be based on their risk to bearability, to adjust the parameters of the model, to better the implementation of the investment objectives.