Commodity Inter-period Arbitrage Research

Commodity futures investment itself carries a high degree of leverage,which can bring high returns to investors,but at the same time,it will also be accompanied by great risks.For commodity futures investors,the most important thing is to find ways to obtain high returns with low risks.Arbitrage trading has become their first choice.The arbitrage mainstream is divided into four parts,Inter-period arbitrage,cross-merger arbitrage,current arbitrage and cross-market arbitrage.Inter-period arbitrage trading operations are the most convenient.At present,many large,medium,and small investors are applying this arbitrage method.The commodity futures market is not a fully effective market.Deviations in pricing and the impact of internal and external events often cause fluctuations in the price difference between contracts of different types of futures of the same type.This provides us with an opportunity for arbitrage.How to judge whether the price difference between different months is out of the normal range is the focus of this article.This article elaborates the theoretical basis of the inter-period arbitrage background and principle,discusses the price fluctuations among different contracts for different delivery months,uses the cointegration model for arbitrage,and uses the transaction data of chemical commodity futures for empirical analysis.Through empirical analysis,this paper believes that although there are few opportunities for inter-period arbitrage,the success rate of transaction operations is relatively high.For large funds that require asset allocation,inter-period arbitrage is a good choice.