A Study On The Cross-Market Arbitrage In Natural Rubber Spot And Futures Market

Natural rubber has the properties of agricultural products, industrial products and chemical properties, and so on commodity attribute, also has very strong financial attributes. The price of natural rubber have complex influence factors, market volatility, is difficult to judge. This paper studies the regular of basis change between the international natural rubber spot price and the domestic natural rubber futures price, and further puts forward the corresponding arbitrage model.To make use of domestic futures hedge with Imports of natural rubber looks be like simple, but actually involves the use of futures arbitrage operation of all forms including on the spot, across time and across markets. Based on the analysis of the effect of factors upon, at the same time, to make an empirical analysis of the historical data, the writer drew two markets’relevance, and further use of the test of granger causality test, this paper tests the two different markets, as well as the causal relationship between them with the basis change.Combining the above analysis and experience, the author puts forward the solution to the problems of encountered in the basis arbitrage operation evaluation system and the cross-market futures-spot structured scroll arbitrage model. The main points of the model are:judge the begin point and know where the expansion points; Step, each quantitative; Basis to expand, gradient increment; Rolling operation, orderly in and out.In order to facilitate understanding, the author also carried out to the operation of the model, for example. In the coming chapter, the author analyze yield of cross-market the futures-spot structured scroll arbitrage model, and the actual operation results in the examples have been calculated the internal rate of return, and then further reveals the model have good financing function. At the end of the article the author analyzes the cross-market the futures-spot structured scroll arbitrage model’s management value. Spot buying and selling of this model is a subversion of traditional bulk trade practices, is a kind of business model innovation, to build the core competence of enterprises.