运筹与管理Issue(3)：179-188,10.
基于我国期货市场的跨期套利研究
Empirical Study of Calendar Spread Arbitrage in Chinese Future Market
朱丽蓉 1苏辛 2周勇1
作者信息
- 1. 中国科学院 数学与系统科学研究院，北京 100190
- 2. 上海证券交易所博士后工作站，上海 200120
- 折叠
摘要
Abstract
It is very convenient to make arbitrage in future market because the future market is very different from the stock market, and there exists natural shorting mechanism in future market.Therefore, this paper primarily focuses on the future market in China and conducts an empirical study of the calendar spread arbitrage strategy. Firstly , we introduce relative theory of calendar spread arbitrage and propose an operable set of strategies in arbi-trage trading.Secondly, based on this trading strategy, we conduct some empirical analysis of 15 kinds of combi-nations of cotton future, which is listed in Zhengzhou Commodities Exchange.Finally, we analyze the number of calendar spread arbitrage opportunity, yield of rate, the number of hedge being unwind, the number of physical delivery, the management of position, the amount of additional margin funds and so on.Hence, we can get a conclusion that the models and strategies in calendar spread arbitrage are feasible in our future market.关键词
期货/套利/跨期套利Key words
future/arbitrage/calendar spread arbitrage分类
管理科学引用本文复制引用
朱丽蓉,苏辛,周勇..基于我国期货市场的跨期套利研究[J].运筹与管理,2015,(3):179-188,10.
