Based On Co-integration Relationship And The Comparison Of Yellow Soybeans、Soybean Oil、Soybean Meal Futures Arbitrage Number One

Since the beginning of 2015, the Shanghai 300 index change radically, "paid off for the country " can be heard everywhere. The research about statistical arbitrage literature is numberless as the sand, but the statistical arbitrage logic in reality application has several defects:1, model is established for the relatively harsh conditions, model not only related to the time sequence of the order of a single whole requirements. For the residual series after the establishment of the model of one entire order is also required.2, the second flaw is fatal, because the fundamentals of the futures contract has been change. Therefore, formed by a period of time contract price relationship in the back of the time paragraph does not necessarily remain stable, so by the time segment model is constructed and the formation of the strategy, in behind time paragraph back to test the effect is often not as good as before for a time period of back testing results. In fact, arbitrage in cross breed between trading strategy, price arbitrage is a common strategy for investors. This article uses the method of this study:I first collected on arbitrage trading methods for various types of literature, securities and futures company research report, as far as possible system to organize the financial institutions of research results, for further study of this play basis. In the daily cointegration relationship research, I use the cointegration method of soybean, soybean meal, soybean oil three futures contracts to conduct the research. Select the price is the main force of the closing price of three contracts, the time range of data for the beginning of the 07 year to the end of May 2015. Data source for the data provider Taobao, modeling process with R software. In the research of one minute line co integration relationship, I use the co integration method to study the main contract of soybean meal and soybean oil two kinds of futures. Select the price is the average price of three copies of the contract (the opening price+closing price+the highest price+ the lowest price)/4. In a minute parity arbitrage research, I adopt the ARIMA method of two kinds of soybean meal and soybean oil futures contract to carry out research. The price is three contracts per minute (the average price (the opening price+closing price +high+low)/4). All study data are in 2015 in January, April, may, August, September and December six month, all one minute K-line data. For the first time on a minute line of thesehigh-frequency data with cointegration method gives months statistical arbitrage trading viability assessment, and for the first time to the parity by ARIMA model modeling and by the model that the actionable trading strategies.