Research On Commodity Futures Calendar Spread Arbitrage

With the development of Chinese economy,the Chinese future market is playing an important role,so it is very helpful to study the future market in China.The future investment is very hard and full of risk.Among these investment modes,the mode of the arbitrage transaction attracts a large number of institutional investors by virtue of its characteristics of less risk,lower cost and smaller fluctuation.But it is no easy to do it best.This article researches the bean-pulp future by studying papers,analyzing diagrams,comparing research,building mode.Base on the new research,and then introduce No arbitrage equilibrium theory and Holding cost theory,and then explain the concept and nature of calendar spread arbitrage,and give the method to build mode.In a conclusion,the article proves that the bean-pulp futures contracts offer the profitable opportunity of calendar-spread arbitrage and can serve as a reference for the futures investors.