Research On Procedural Arbitrage Trading And Risk Prevention In China Futures Market

procedural arbitrage trading has gradually become a popular trading mode in China futures market.It uses computer language to describe investment strategies or logic,and utilizes the ability of computer to calculate quickly,good execution ability and ability to run continuously for a long time.Analysis of the market and automatic completion of transactions,this trading model has obvious advantages.Arbitrage can effectively hedge against market volatility by using the hedge of the contract pair,and accurately grasp the oPPortunity of the transaction based on the results of the statistical analysis,so that only the lower risk is required while obtaining the income However,with the rapid develoPment of futures procedural arbitrage trading in China,there are also different risks in the actual operationFirstly,this paper elaborates the related theory of procedural arbitrage,and summarizes the domestic and foreign research on procedural arbitrage trading and risk prevention.Next,it elaborates the current situation of procedural trading in China,and reveals the main risks faced by procedural arbitrage in spot trading in China futures market:model risk,technical risk,policy risk,market risk,transaction risk and so on.Then,in the empirical part,the futures procedural arbitrage trading system is established.Firstly,through the selection of futures trading varieties,according to the results of correlation coefficient mATRix and futures contract combination with industry chain or substitution fundamentals,six pairs of futures arbitrage portfolios,such as soybean oil-palm oil,coke-coke coal,plastic-PP,were selected.Taking soybean oil-palm oil as an example,the co-integration test was carried out,and the regression equation coefficients were calculated,based on which the regression equation coefficients were calculated.The residuals are tested and analyzed.By z-score and deformation of residuals,better mean regression characteristics can be obtained,thus a procedural arbitrage trading system with the characteristics of actual trading can be constructed.At the same time,the trading system is tested by strategy,parameter coefficients optimization,key indicators comparison,and the empirical research of procedural arbitrage trading is summarized.Finally,the futures market is combined with the empirical research of procedural arbitrage trading.Empirical research conclusion of procedural arbitrage trading has drawn up corresponding risk prevention measures from the practical point of view of procedural arbitrage trading,including model risk management,technical risk prevention,reasonable policy risk avoidance,active response to market risk and transaction risk management.Through this study,we can provide practical reference value for futures companies and fund companies to study the procedural arbitrage trading system in China futures market,and provide warning reference for the risks that may be faced in the actual operation and risk prevention measures.