Research On Arbitrage Strategies Of Black Commodity Futures

Futures investment is one of the main ways for investors to participate in the financial market,attracting a large number of investors with its characteristics of high returns and high volatility.However,high returns are accompanied by high risks.So now,arbitrage trading with relatively low risks and relatively stable returns has gradually gained preference and application from investors.China’s commodity futures include two categories,industrial commodity and agricultural commodity,among which industrial commodity mainly include the ferrous metal and non-ferrous metal categories.In the chemical,petroleum,and the industrial category,the ferrous commodity has the largest transaction volume and precipitated funds,accounting for about a quarter of the total transaction volume and precipitated funds of bulk commodities.The ferrous commodity futures has close relationship with the domestic steel industry.Based on the importance of ferrous commodity futures in the financial derivatives market,this article used ferrous commodity futures as a starting point to study spot arbitrage,cross period arbitrage,and cross variety arbitrage.By using the correlation analysis method,this thesis matches closely related products in the same industry,the arbitrage opportunities and strategies among 11 pairs of ferrous commodity futures were studied,including hot rolled coil spot and hot rolled coil futures in spot arbitrage,near month and far month contracts for rebar,hot rolled coil,iron ore,coke,coking coal,manganese silicon,and ferrosilicon futures in cross term arbitrage,and hot rolled coil futures and rebar futures,coke futures and coking coal futures,manganese silicon,and ferrosilicon futures in cross variety arbitrage.Through literature review,this thesis has collected,read,and collated the research on arbitrage conducted by many scholars and teachers,and obtained a lot of inspiration.Through the comparative analysis method,the daily price data of the above varieties over more than past seven years have been summarized and sorted out,and the price difference or ratio of the matching varieties has been calculated,and an annual year-on-year chart has been drawn.It is found that the price difference and ratio of each variety have relatively fixed change ranges and change rules on an annual basis,providing conditions for arbitrage design.Through empirical research methods,11 sets of arbitrage strategies are applied to practice with reference to variety correlation,price difference or ratio index,moving average index,etc.,and the arbitrage results are displayed,such as positions,funds,yield,maximum pullback,etc.,to summarize the comparison and rule summary of spot arbitrage,cross period arbitrage,and cross variety arbitrage.In this thesis,the black arbitrage strategy design ideas,on a certain level for commodity arbitrage,the theory has a certain expansion.At the practical level,the results of this thesis can be used for reference in strategy design,position management,risk management and so on.