Analysis Of Agricultural Products Futures Arbitrage Strategy Based On O-U And GARCH Models

Against the background of the rapid development of cloud computing,big data and artificial intelligence,the gradual improvement of China's financial system and the improvement of financial futures products have promoted the further development of different trading arbitrage strategies in China.Commodity futures refer to a standardized futures contract that uses physical commodities as the subject matter of trading.In the long history of development,many types of transactions have been derived,including energy commodities,agricultural products and metal products.The distinct investment characteristics,first of all,its unique leverage mechanism can realize arbitrage opportunities with small and large;secondly,the main factors in futures contracts such as the quality of goods and the place of delivery have been standardized,which can facilitate transactions,and improve liquidity and mutuality.Exchange;once again,futures trading uses the open bidding method,which has high transaction efficiency,and can be operated in both directions,and the method is simple and flexible;finally,the performance of the contract is also strongly guaranteed.Futures cross-varietal arbitrage is in the ascendant.On the basis of researching domestic and foreign literature,the author collects actual transaction data in the commodity futures market,uses different arbitrage models,comprehensively analyzes agricultural futures arbitrage,designs appropriate trading strategies,and applies them to the market.It is hoped that it can provide investors with more trading ideas,improve the liquidity of the entire market,and increase the diversity and anti-risk capabilities of China's financial market.This article takes the OU model as the main research object to explore whether it is sufficiently compatible with the commodity futures market,and compares its arbitrage results with the GARCH model and the fixed standard deviation model.It is found that the OU model has a strong role in the agricultural futures market.Feasibility can provide individual and institutional investors with arbitrage ideas for commodity futures,which has strong guiding significance and practical value,and also provides a reference for the application of the OU model in the field of commodity futures.