Empirical Study On Inter-commodity Spread Arbitrage Based On Threshold Cointegration

Threshold cointegration theory is developed on the basis of traditional cointegration theory for describing the nonlinear cointegration relationship between two variables. Can be used for two varieties of commodity futures arbitrage across species, containing two varieties of commodity futures contract price system, there is a long-run equilibrium relationship and the upper and lower thresholds, in the upper and lower threshold range, price deviations are not eager to balance but tend to return the random walk behavior, then there is no arbitrage; the threshold range, the price bias will quickly return to a balanced position, at this time there is no arbitrage.In this paper, a Dalian Commodity Exchange soybean, soybean meal futures contract price for the study, provides a threshold cointegration and threshold regression model(TAR) approach to building the self, and thus the development of arbitrage strategies and arbitrage effect analysis.Firstly, based on threshold cointegration theory, the basic process of cross-species arbitrage according to commodity futures, s elect the applicable threshold cointegration test and parameter estimation method. Overall co-integration test according to EG two-step, three-door mechanism of induction proposed limit cointegration autoregression model(TAR), and reference Balke and Fomb y(1997) of sup-Wald door limit cointegration test method for testing. In terms of the model parameter estimation, a reference Hansen(200 2) maximum likelihood estimation, the original two-mechanism model for estimating the three mechanisms of the model parameters to obtain threshold cointegration model and its parameters.Secondly, a DCE soybean, soybean meal futures contracts, for example, the threshold for co-integration test and model estimates obtained TAR model and threshold range. The threshold coint egration aspect, explores the beans, and a long-term equilibrium relationship and nonlinear cointegration behavior soybean futures contracts; the model parameter estimation aspect, explore beans one soymeal price system deviation at different threshold ran ge equalizer reply The adjustment behavior.Finally, on the basis of a bean, soybean long-run equilibrium equations, construct two futures arbitrage trading portfolio positions, lower than the threshold value as a trading signal to Va R boundary value as th e stop signal to develop arbitrage strategies, arbitrage and inside and outside of the sample analysis of the effects, where paper constructs soy futures market index, calculated its market performance, and arbitrage portfolio and market performance were compared, further testing threshold co entire profit model of effectiveness.