| This paper summarized the author’s long-standing efforts to guide and participate in the actual arbitrage investment cases in domestic commodity futures market. It classified the main modes and methods of the arbitrage operation in domestic commodity futures market preliminary. It discussed the risks that the investors may encounters from the internal and external market in the actual investment process. And then, it summaried the way that the investors how to get to know the risks of commodity futures arbitrage, and the paths and means to avoid and remove them.According to the differences of the domestic commodity futures arbitrage investment methods, this paper classified the domestic commodity futures arbitrage as intertemporal arbitrage, cross-market arbitrage, cross-specise arbitrage, delivery arbitrage, arbitrage of value configuration, arbitrage of hedge. It analyzed the policy risk, market risk, trade risk and so on of commodity futures arbitrage with the cases.This paper discussed the important meaning of how to understand the risks of commodity futures arbitrage to relized the arbitrage objectives successfully. And then, it discussed the paths and means to avoid and remove risks from the practical point of view, and put forward the suggestions.The ultimate goal of this paper was to provide reference for learning and practice of commodity futures arbitrage method, strengthening investors’ risk awareness and risk management capabilities, and especially for the domestic commodity futures market arbitrage products (CTA) development through the various risks that investors may encounter in the domestic commodity futures arbitrage investment and investors’ strategies. |
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