Research On Corn Futures And Corn Starch Futures Arbitrage Based On GARCH Model

Current China in the transformation and upgrading of economic structure,supply side under the background of reform,China's futures market service entity economic function also increasingly obvious,both the depth and breadth of service industry,or in the national economy overall opening-up pattern,mission carried by the futures market is also indispensable.Currently,with the development opportunity of "One Belt And One Road",the futures industry will usher in a new challenge and mission.It is expected that the development space of China's futures market will be unlimited.From the current China's stocks,bonds and commodity price fluctuations,the price of their volatility is relatively high,the investment risk is still relatively large,so people need to hedge the risk of an investment tool,in this time of the futures market can solve the problem for you.This article selects the data of corn starch and corn futures index futures index from 19 December 2014 to December 13,2017 K line daily closing price data,a total of 728 pairs of observation,the author will be so much data is divided into equal to the number of two parts,part is 2014.12.19 to 2016.06.17 period,the other part is 2016.6.20 to 2017.12.13 period,the fonner part as sample data,using the sample data in correlation analysis,stationarity test,cointegration relationship test,error correction model and GARCH model,finally on the basis of sample data in an arbitrage strategy,then the strategy respectively with sample data and sample data to back to test,check the income of high and low,stability and income,etc.This paper is based on the thought method of statistical arbitrage.Statistical arbitrage is the law of historical data,and it is believed that these laws will be repeated in the future.Currently,it is popular to choose a lot of historical data,and then analyze and find out the laws of the whole,and then use this rule to predict the future.The arbitrage model of this study is in the price mean reversion,the core of arbitrage strategy,on the basis of combining the trend of the thinking method of arbitrage,which is one of the innovation of this paper point,from the data in the final sample and the sample data back to the test results,the corn starch and corn futures futures of these two varieties of agricultural products futures arbitrage when got good arbitrage profits,income is positive,the sample data in back-test the annualized yield is 13.36%,back to measure the data of the sample outside the annualized yield is 10.6%.In this paper,the research still have deficiencies,such as less sample data within and outside the sample data;Data processing in some details do not good enough,for example,without considering the futures or stop,and is not considered the effects of charges and the cost of capital,just made some qualitative consideration;Due to the limitation of time,not in this paper,the author studies on statistical arbitrage strategy the simulated trading in the futures market tracking,less into actual combat.In this paper,we study the arbitrage model still has some place can be optimized,the author thinks that statistical arbitrage should have the concept of "range",within a certain range is the rule,but after a number of factors have changed,this law may be broken,and the emergence of a new law.This paper used the GARCH model to calculate the standard deviation to the condition of setting dynamic kaiping positions and stop signal,but does not take into account the average price changes,spreads on average do dynamic processing.Therefore,in the future research,we can consider how to realize the dynamic open position signal by using the dynamic price difference mean and dynamic condition standard deviation.Such a model will be more flexible and time-efficient,thus reducing risks and increasing the stability of statistical arbitrage returns.