Research On Statistical Arbitrage Scheme Of Oil Futures In NZ Futures Company

After the 2008 global financial crisis,the domestic commodity futures market entered a long bear market period,commodity prices stumble endlessly,trading volume is low.In 2015 the "crash" and the rising of stock index futures was quickly suppressed,the influence of various restrictions on the introduction of the policy and market pessimism,the stock index futures trading volume shrinking rapidly,the traditional brokerage business of domestic Futures Company survival encountered great challenge.In this context,NZ Futures Company to strengthen the research on the statistical arbitrage of oil futures,providing investment advice and asset management business for the needs of customers.The related theory based on oil futures statistical arbitrage and summarizes and introduces the oil futures arbitrage and statistical concepts,classification and statistics of oil futures arbitrage program design procedure and theoretical basis.Then according to the NZ Futures Company’s existing oil futures statistical arbitrage trading schemes are analyzed in detail,and introduces the design steps and operation process,and the combination of the arbitrage effect simulations the latest market data,it was found that the existence of a single arbitrage arbitrage portfolio,the lack of data timeliness,arbitrage strategy,single does not consider the transaction cost and risk control etc..NZ Futures Company’s existing oil futures based on statistical arbitrage scheme in the existing problems,this paper puts forward the optimization idea of the company’s oil futures statistical arbitrage scheme,firstly from two aspects of the type and time frequency rich arbitrage portfolio,the existing arbitrage portfolio on the basis of the development of the 4 kinds of feasible arbitrage portfolio.Finally,according to the statistics of oil futures transaction cost arbitrage scheme in the actual operation are analyzed,to analyze the impact of "transaction cost plan" in practice,and as a basis for the adjustment of the statistical arbitrage scheme yields.In addition,the oil futures market,there are statistical arbitrage trading program,such as market risk,transaction risk,operational risk and other risk factors,which will eventually affect the results of arbitrage.According to the research,according to Futures Company NZ oil futures statistical arbitrage optimization considerations and perfect operation in the trading scheme mainly includes the following aspects: develop the arbitrage portfolio and fully considering the data timeliness,innovation arbitrage trading strategy,considering transaction cost,strengthen risk management.