Research On Agricutural Cross-Species Arbitrage Strategy

Rely on single variety of investment are overly dependent on the judgment of the market trend,it not only requires investors with a higher level of transaction,but also spend a lot of time and energy to focus on market prices change.Arbitrage can through contracts to hedge to avoid market fluctuated wildly,and through statistical analysis to grasp the trading opportunities to obtain stable income,low risk.In this paper,through the establishment of oil futures contracts arbitrage market strategy.In the analysis of arbitrage principle and agricultural products oil futures fundamentals and construct containing rapeseed oil,soybean oil and palm oil multiparty and empty the arbitrage portfolio through correlation analysis,and through the statistical analysis method of mining arbitrage portfolio optimal entry points,thus effectively hedged off market risks,with respect to the independent of the unilateral market prices to obtain stable returns.Therefore,this paper details the statistical arbitrage model based on the co integration method,and on this basis for the cross variety of oils and fats to design a set of practical statistical arbitrage scheme.The biggest feature of this paper is through the Eviews8.0 software through the statistical analysis of the method in detail how to select the arbitrage portfolio and determine the trading of the admission signal and the trading signal should be taken when the measures to be taken.Finally,in WH4.0 hedge software on rapeseed oil,soybean oil and palm oil six of the contract,showing the statistical arbitrage strategy program implementation and test of the whole process,and of statistical arbitrage strategy in both inside and outside the sample return of rational analysis.