Research On Soybean And Soybean Meal Futures Spread Trading Model

As the fist listed kind of futures, farm produce futures has the largest trading scale, as well as in China. In resent years, the trading volume of farm produce futures has steadily increased, always taking about 43 percent of the gross volume of all futures varieties. The original produce area of soybean is China which has the history of planting soybean for 4 700 years, until 1930s, soybean cultivating has been all over the world. Soybean meal is a byproduct of crushed soybean. As a high protein material, soybean meal is not only the main material of foodstuff of livestock and fowl, but also can be used to make cakes, healthy foods and makeup, besides, soybean can be used as the material of bacteriophage. The need of soybean meal of aquiculture is increasing quickly, too. Along with the development of technology, the using of soybean meal will be wider and wider.This paper backed on the quickly developed soybean and soybean meal futures market, combined with overseas study experiences and the actual condition of our country, May help investors complete their understanding of arbitrage between soybean and soybean meal. First, using both unit root test and runs test proved that the price of soybean and soybean meal futures were not nonstationary and the future market of soybean and soybean meal were un-efficiency, the chance of arbitrage did exist. Second, after analysising the spread of soybean and soybean meal, discovered the normal rule of it, finally build a long and a short spread arbitrage model. Third, on the platform of foxtrader, using sequential data from 1 Jan, 2004 to 5 Sep, 2008 checked these two models, validated these models after hundreds of experiments. This is also the innovation of this study, for most exitsting studies are just research on postmortem without maneuverability and not being checked by a reliable software. Finally, I discussed the risks of this kind of arbitrage. All of these out comes are propitious to perfecting the mechanism of spread arbitrage, and what more important, is that this study can be the basis of a reliable spread arbitrage model.