The Research Of Coking Coal,coke,iron Ore And Rebar Futures Arbitrage Strategy

Since the launch of iron ore futures, a hedging platform of all commodities composing the steel production chain has been shaped in futures market. It has practical value and significance to form the inter-commodity arbitrage strategy from coking coal, coke, iron ore and rebar futures. This paper makes thearbitrage strategyanalysis of such commodities as coking coal, coke, iron ore and rebar by describing a study of sources about the spot and futures market at home and abroad, outlining production, consumption and distribution in the industry value-chain, and examining specifications, history and current status of relative futures contracts. An account of different inter-commodity arbitrage patterns based on price action and correlation analysis is given. To grab arbitrage opportunity, we study the ratio and price differences between coking coal and coke, coke andrebar, and iron ore and rebar. The result shows that the profit can be gained through inter-commodity arbitrage strategy.We expect that it will be helpful to the industry chain institutions in the actual capital operation.