Empirical Research Of Commodity Futures Cros—Varieties Arbitrage Strategy

With the continuous development of the domestic financial market,both institutional investors and individual investors have begun to enrich their own trading strategies.In many types of strategies,arbitrage strategies are increasingly favored by various investors because of their stable returns and controllable risks.The continuous development of the futures market in China in the past 30 years has provided extremely convenient conditions for arbitrage trading due to its short-selling mechanism.Whether it is a listed product in the domestic commodity futures market or a newly listed trading product in recent years,it is rich in arbitrage opportunities.Based on the above background environment,this paper selects the domestic commodity futures market as the target market for cross-varieties arbitrage strategy research.Among the many commodity varieties in the three major commodity futures exchanges,25 varieties that are actively traded are selected as screening pools according to indicators such as trading volumes and positions,and correlation coefficients of these 25 varieties are calculated to determine the correlation between varieties.According to the comprehensive factors such as the size of the correlation coefficient and the fundamental relationship,the arbitrage targets were finally determined as coking coal and coke futures.After the transaction target was confirmed,the ADF unit root test was performed on the daily data sequence and the first-order difference sequence of the coking coal and coke by Eviews6.0 software.The result was that the coke coal coke price sequence was integrated of order and Engle-Granger test and Johansen test verify that there is indeed a co-integration relationship between the price series of the two.This laid the foundation for investors to carry out arbitrage operations on coking coal and coke.The arbitrage strategy is divided into three parts:opening the entry module,closing the exit module,and stopping the departure module.Based on the premise that the short-term fluctuations in the spread will eventually return to the long-term equilibrium state,a specific opening and closing module is designed,and two different stop loss modules are used for intra-sample strategy backtesting,through the performance analysis of the advantages and disadvantages of the stop loss module and its parameter determination.Finally,using the optimal arbitrage strategy,the data outside the sample is measured back to the profitability of the data range.The domestic article deals with coking coal and coke varieties only through price comparison analysis to formulate trading strategies,and in many cross-varieties arbitrage articles,the part of arbitrage strategy designing concludes only after designing a trading strategy to optimize parameters.The innovation of this paper is that the co-integration method was used to analyze the data of the coking coal and coke,and different stop-loss modules were compared and analyzed in the strategy design to obtain the optimal arbitrage strategy.Through this article,we can provide investors with some ideas and references in the selection of arbitrage varieties and arbitrage strategies,which has played a certain role in promoting the development of cross-varieties arbitrage strategies.