Empirical Studies Of Cross-commodity Arbitrage In Futures Market

Since the reform and opening up policy, the futures market of china has been developing for more than30years. Compared with the futures market of developing countries, the results of china are amazing.The paper discusses the development of the futures market in China since the reform and opening policy firstly, followed by the problems emerging in the process of development.On the basis of carefully reading the literature, obtain the ideas and methods of this research. With combination of arbitrage theory, soybean crushing arbitrage theory, pricing basis, first select the continuous closing price of the Dalian Commodity Exchange, January4,2010to2012, soybeans, soybean oil, soybean meal, and use Excel and Eviews metering software to draw the three and soybean crush margins in the history of the three-year period of time sequence diagram and soybean crush margins in the range of the normal fluctuations of the Chinese futures market-200Yuan/ton to-600Yuan/ton. And combination of beans prices at home and abroad toward the analysis of the price trend, and the presence of soybean crushing period of arbitrage opportunities with Region1, Region2, Region3, Region4shows. Then choose Region1and Region2to do the reverse mention soybean oil operations and soybean oil extraction operation.Although empirical review of historical data have practical significance, but we cannot avoid the problem exists in the empirical and arbitrage investment risks. Finally, in order to develop arbitrage investment and implement futures market of China "bringing in and going out" strategy, we must attach importance to the construction of a unified registration and settlement system and Futures Act, a diversified futures company operations, investor education and other issues.