Research On Aluminum Futures Arbitrage Strategy Based On Exogenous Events

The recent month contract price of commodity futures is the response to the current market information.The distant month contract price is based on this and the expectation of future market conditions.Under the sudden policy impact,it will have different effects on the current and future market supply and demand balance.The market reassesses the recent month contract price and the distant month contract price,resulting in inconsistent fluctuation ranges,So as to generate arbitrage opportunities.This study takes the reduction of value-added tax as an example.Because the quotation of China’s commodity futures market includes value-added tax,the quotation of futures contracts after the reduction of value-added tax decreases,and the contract price difference between near and far months is different from the historical conventional range,resulting in cross period arbitrage opportunities;Moreover,due to the tax system of input tax deduction,the enthusiasm of buying goods in the spot market increased before the VAT reduction to increase the enterprise input tax,while after the VAT reduction,the spot market concentrated on selling goods to realize the income of the difference between input tax and output tax.Therefore,there was a short-term imbalance between supply and demand in the spot market before and after the VAT reduction,creating conditions for cash arbitrage,Coupled with the disturbance of market participants’ emotions,the arbitrage profit space is also enlarged.In this paper,fundamental arbitrage strategy and statistical arbitrage strategy are designed respectively,and the return of the two arbitrage strategies is verified through the back test of historical real data.Through fundamental research,calculate the theoretical value of current price difference and cross period price difference fluctuation in the later stage of value-added tax reduction,and carry out the positive set operation of buying near and throwing far,and the annualized rate of return can reach more than 75%.The statistical arbitrage strategy first triggers the positive arbitrage operation to obtain a profit of 45 yuan / ton,and then triggers the reverse arbitrage strategy,with a loss of more than 55 yuan / ton.The comprehensive statistical arbitrage strategy ends with a loss.As the basis of statistical arbitrage is the mathematical statistical analysis of past data,which does not contain the interference of exogenous events,the information contained in historical data is different from the actual situation,which makes the statistical arbitrage strategy ineffective,and the arbitrage strategy based on fundamental research has considerable benefits.It is concluded that the arbitrage strategy under policy impact is mainly guided by the basic research conclusion.The disadvantage is that the probability of policy impact events is low.Therefore,in the daily arbitrage transaction process,the statistical arbitrage strategy is referred to under the normal circumstances and the basic arbitrage strategy is referred to under the influence of policy impact.With the increase of quantitative arbitrage transaction scale,the fluctuation of commodity intertemporal spread decreases,and the statistical intertemporal arbitrage income is meager.However,the fundamental arbitrage strategy under the policy impact is highly deterministic and high-yield,which is suitable for the participation of a wide range of investors.The discussion in this paper plays a guiding role in the arbitrage operation of further reduction of value-added tax in the later stage,It can be used for reference to the fundamental arbitrage operation under the impact of other policies.