基于黄大豆一号期货跨期套利投资策略设计报告  

Design Report of Inter-period Arbitrage Investment Strategy Based on Soybean Futures No.1

作　　者：白中帅 张梓昱 Zhongshuai Bai;Ziyu Zhang(Ma'anshan University,Ma'anshan,Anhui,243100,China)

机构地区：[1]马鞍山学院,安徽马鞍山243100

出　　处：《经济管理研究》2019年第3期28-31,共4页Economic management research

摘　　要：期货商品是证券衍生产品之一,是在固定的交易场所、不同月份合约之间的交易。它改变了远期交易的弊端,是一种新的投资方式。期货品种多样,有化工类、能源类、金属类、农产品等[1]。文章先介绍了期货市场的特征,选取大连商品交易所的产品——黄大豆一号进行研究。以黄大豆一号连续时间的100个收盘价格数据为基础,对黄大豆一号在市场上存在的六个期货合约,寻找合约之间的相关性,然后选择相关性最高的两个合约进行单位根检验,两个合约平稳后,进行协整检验,然后用误差修正模型,分析价差规律,选择合适的价差,根据价差选择多头或者空头买卖合约,最后对对投资提出相应建议。Futures is one of the securities derivatives,is in a fixed trading place,between different months of contract trading.It changed the disadvantage of forward trading and was a new way of investment.Futures are diversified,including chemicals,energy,metals and agricultural products[1].This paper firstly introduces the characteristics of the futures market and selects the product of dalian commodity exchange--yellow soybean No.1 for research.With yellow soybeans.1 based on the 100 closing price data of continuous time,exist in the market for yellow soybeans.1 six futures contracts,and to find the correlation between the contract,and then select the highest correlation between two contracts for unit root test,after two contract smoothly,cointegration test,error correction model is then,analysis and spread rule,select the appropriate price,according to the difference between select long or short sale and purchase agreement,finally put forward the corresponding advice on investment.

关 键 词：跨期套利 单位根检验 协整检验 误差修正模型 

分 类 号：F83[经济管理—金融学]