Analysis On Futures Varieties Arbitrage

With the continuous development of the China futures market, The scale expands unceasingly, continues to push the new varieties of trading and futures market gradually standardized plus improve investor knowledge structure, turnover and the degree of concern has prompted the futures arbitrage trading is increasing year by year. Due to the influence of macroscopic, microcosmic aspects added leverage on futures trading itself that there is a huge risk of futures trading. Futures prices often generate volatility in a short period of time, and once investors appear in reverse when the market hold only unilateral position will cause huge loss. In order to avoid the risk of unilateral operation of futures, futures arbitrage transactions become more and more attention and favor a means of trading and investment. At present, the arbitrage trading because of its stable income, relatively small risk to become one of the major means of trade in the international futures market. The international most large funds are mainly uses the arbitrage arbitrage or part of the way to participate in futures trading. While this paper is to arbitrage arbitrage in cross species comparison of common research as the starting point, select the thread steel and glass as the research object. The use of statistical and financial theories and knowledge, in the two varieties in the current situation of the development of our country as the background and has the same as stereo based on supply and demand factors. By using ADF unit root and cointegration test method validation techniques to analyze the general law between them spread operation, that can be traded and exit point of time. Finally by empirical results objective yields to prove its cross species arbitrage success. Study on new varieties to fill vacancies across varieties arbitrage, and better promotion of domestic futures market cross species arbitrage plays a certain role in promoting.