Research on Cross-Variety Arbitrage Strategy of Metal Futures in China

Chen Yang, Shaotian Liu
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引用次数: 0

Abstract

With the vigorous development of China’s futures market, the number of varieties is gradually increasing, the number of investors is increasing, and the liquidity of futures is getting better and better. The “T+0” trading mechanism of the futures market makes arbitrage traders prefer to carry out arbitrage in the futures market. Cross-variety arbitrage is one of the main ways of arbitrage in China’s futures market, and its key is to find the appropriate variety combination and arbitrage strategy. The purpose of this paper is to conduct scientific and detailed research and analysis on futures cross-variety arbitrage, so that investors can have a comprehensive and in-depth understanding of it to enhance investor education, and on this basis, find appropriate variety combinations and design cross-variety arbitrage strategies and empirically test the effect of the strategies, so as to provide reference for investors and enrich the existing research on futures cross-variety arbitrage strategies.
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中国金属期货跨品种套利策略研究
随着中国期货市场的蓬勃发展,品种逐渐增多,投资者越来越多,期货的流动性也越来越好。期货市场的“T+0”交易机制使得套利交易者更倾向于在期货市场进行套利。跨品种套利是中国期货市场的主要套利方式之一,其关键在于找到合适的品种组合和套利策略。本文的目的是对期货跨品种套利进行科学细致的研究和分析,使投资者对其有全面深入的了解,加强投资者教育,并在此基础上寻找合适的品种组合,设计跨品种套利策略,并对策略的效果进行实证检验。从而为投资者提供参考,丰富现有期货跨品种套利策略的研究。
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