Design And Application Of Quantitative Arbitrage Strategy For Commodity Futures Based On Fundamental Analysis

In recent years,with the continuous development of China's futures market,it has gradually become a new quantitative investment market.More and more investors or funds will consider using commodity futures to participate in asset allocation.However,for investors,public funds are mostly concentrated in stock market and bond market,and futures market is rare,which is far from the diversified investment demand of investors.Facing the current complex and complicated investment analysis method,simply using quantitative strategy constructed by volume and price does not fully meet the diversified needs of investors.Investors gradually realize that the logic of investment is becoming more and more important.The traditional quantitative strategy is far from enough in mathematical physics,and it needs to be combined with fundamental factors such as macro environment.Because of this,investors hope to combine qualitative and quantitative methods effectively,that is to say,combine fundamental analysis and quantification methods to achieve prudent profits.The fundamental quantification is based on this background.Compared with the rich experience of oversea research,domestic research on futures is not systematic.Most of them are limited to common trading strategies such as cross market arbitrage,intertemporal arbitrage and intercommodity arbitrage.The arbitrage strategy that combines the fundamental analysis and quantitative methods of futures is still scarce at present.Therefore,it is necessary to do more in-depth research in China's futures market.This paper is mainly to combine the two methods of fundamental analysis and quantification,and then apply this method to do arbitrage research in commodity futures market,so as to design a fundamental quantitative arbitrage strategy of commodity futures.First,we comb the existing literature basis and related theories,consolidate the research foundation of this paper,and then establish the commodity futures fundamental analysis framework according to the fundamental characteristics of commodity futures,so as to study the main influencing factors of commodity futures' prices.Secondly,we build a quantitative analysis method for the fundamental factors of commodity futures.Finally,we design a fundamental quantitative arbitrage trading strategy of commodity futures,and analyze it with practical application cases.The conclusion is that the fundamental quantitative arbitrage strategy is also able to get a higher return while controlling the maximum retracement.On the one hand,it can provide futures market investors with arbitrage trading logic and ideas for arbitrage on commodity futures;on the other hand,it also provides theoretical research object for researchers to do arbitrage theory research on commodity futures market.