Research On Cross-species Arbitrage Of Agricultural Products From The Perspective Of Industrial Chain

Before the listing of egg futures,laying chicken farmers,egg distributors,food processing plants and other businesses are often faced with large fluctuations in egg price and bear great risks.The listing of egg futures reduces such price risks to some extent and provides guidance for the spot price of eggs.The feed of laying hens located in the upstream of the egg industry chain is mainly composed of corn and soybean meal.Based on the upstream and downstream relationship of the egg industry chain,the correlation analysis of the futures prices of egg,corn and soybean meal in the egg industry chain is carried out.The results show that there is a certain correlation between the futures prices of egg,corn and soybean meal,which also creates space for crossvariety statistical arbitrage.Statistical arbitrage can eliminate the unbalanced price difference between different varieties,so the study of cross-variety statistical arbitrage strategy can not only bring low risk investment returns,but also promote the effectiveness of futures market.Based on the co-integration theory,this paper tries to find the optimal statistical arbitrage strategy among the three futures varieties in the egg industry chain.In this paper,starting from the analysis of the correlation between the three futures varieties in the egg industry chain and the influencing factors of their respective prices,the Granger causality test and impulse response analysis of the futures prices are used to verify the coactivity among the price series of the three futures varieties.The results show that there is a certain linkage relationship between the prices of the three futures.On this basis,the long-term equilibrium relationship between varieties was discussed.The test method was to carry out unit root test on the regression residual sequence,and the results showed that there was a long-term stable relationship between the three varieties.Then,the position proportion between varieties is determined according to the results of the error correction model,so as to obtain the specific strategy of statistical arbitrage,and the trading opportunity is determined by fixed threshold and dynamic threshold.This paper provides a reference model for the statistical arbitrage between different varieties of agricultural futures,and compares the various possibilities of the strategy by adjusting the parameters,which proves the feasibility of cross-species arbitrage of agricultural products based on the perspective of industrial chain,and has certain practical significance for improving the mechanism of statistical arbitrage and enhancing the effectiveness of the futures market.