The Cross Commodity Arbitraging Design Between The Methanol Future And Polypropylene Future Based On Cointegration

The effectiveness of traditional investment depends on the investor's own analytical capacity and transaction level,which will lead to strong subjective nature of investment results and weak stability of income.If investors choose trend investment as the main strategy,they will face a large market volatility risk;if investors choose the traditional arbitrage as the main strategy,it is difficult to avoid the existence of subjective factors.Assuming that there is some kind of investment that is independent of the market itself,it is possible for investors to objectively judge the market and make reasonable transactions accordingly,and obtain a stable,reliable,and low-risk return which not depended on market trends.This kind of investment must be able to be widely concerned by market participants.Using the statistical tools to analyze a group of financial products and then get some of the arbitrage strategy is precisely able to meet the characteristics of the market neutral.Such investment strategies are named as statistical arbitrage strategies.By hedging most of the market risk,statistical arbitrage strategy can be combined with a trend independent of the market,in order to obtain a stable return.Now,statistical arbitrage strategy based on Cointegration is maturing and widely used in domestic and foreign academia research and business.Firstly,this paper introduce the theory,history,method and step of cointegration statistic,then the empirical research on the cross commodity arbitrage scheme based on cointegration of methanol future and polypropylene future is carried out to help the investors understanding of the main content of statistical arbitrage strategy to enhance the investor's research ability and transaction level.This paper introduces the specific aspects of the implementation of statistical arbitrage strategy,create arbitrage portfolio,determining hedging ratio,setting trading signal,transaction result evaluation and so on,and analyzes the correlation,liquidity,smoothness and cointegration relationship of arbitrage portfolio.In this paper,the empirical research of methanol future and polypropylene future is significant example.This example shows the analyzing,testing,designing and evaluation of statistical arbitrage strategy.