The Study Of Cross-border Arbitrage Trading Strategies-based On Copper Futures

In recent years,China’s futures market has experienced vigorous development,especially in the metal futures market,the international pricing power is rising,which provides a feasible basis for cross border arbitrage practice.At present,most of the operations in the market are hedging and speculative trading,but futures arbitrage,especially cross market arbitrage,is still not the mainstream choice.Cross market arbitrage is an investment means that can achieve higher yield at a lower risk.Through further study,it will provide a good arbitrage solution for domestic investors to configure asset futures.In this paper,copper is selected as the target of investment,and we choose the largest two futures exchange of copper futures——Shanghai Futures Exchange and London Mental Exchange as our arbitrage place.Firstly,we did the correlation analysis of several metal varieties in two cities and the result showed that the correlation of homogenous metals reached over 0.90,what’s more,the correlation of copper in two cities is 0.99,indicating the development of metal species in China is relatively mature,fully in line with the international standards.In addition,by analyzing the price difference charts of copper in two cities,it is found that there are moderate fluctuations,but the trend is relatively stable,which fully has the precondition of cross-market arbitrage.After analyzing the feasibility of a series of cross market arbitrage of copper futures,we conducted a retrospective test on several trend strategies and statistical strategies by means of procedural trading,as well as analyzing the advantages and disadvantages of strategies and trying to get the best solution cross-border arbitrage.In the previous research literature,there are huge amounts of paper based on the domestic and international futures price discovery function,but not that much on the copper cross-border arbitrage trading strategy.What’s more,most related research is based on physical delivery,simply having research on the feasibility and yield of positive arbitrage trading strategy,but this arbitrage trading strategy cost is higher and have higher requirements for real trade channels and related policies.The innovation of this paper is to break through the traditional positive arbitrage strategy and use procedural means of transaction to test and analyze different transaction strategies,what’s more,we put forward some risk control and fund management measures in cross-border arbitrage.