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通过研究商品期货jt1705与rb1705价格之间的协整关系,设计了有效的套利模型,并运用模型的残差序列的回归均值的特征对配对交易进行了损益分析。可利用该模型进行配对交易完成商品期货跨品种套利,获得较为稳定的收益。该模型不仅仅局限于期货市场,而是具有一定的延展性。随着我国股票市场的做空机制不断完善,该模型同样可应用于股票市场。
By studying the cointegration relationship between commodity futures jt1705 and rb1705, an effective arbitrage model is designed and the profit and loss of paired transactions are analyzed by using the regression mean of the residuals of the model. The model can be used to pair transactions to complete the commodity futures cross arbitrage, access to a more stable earnings. The model is not limited to the futures market but has a certain degree of scalability. As China’s stock market short mechanism continues to improve, the model can also be applied to the stock market.