黄金跨市场套利分析策略报告  

Gold Cross-market Arbitrage Analysis Strategy Report

作　　者：张梓昱 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35-38,共4页Economic management research

摘　　要：由于SHFE黄金价格与COMEX黄金期货价格,具有较强的相关性,其价格变动受到国际经济变动的影响,可根据价格变动形式发现国际黄金期货价格走势。论文主要研究跨市场套利的理论策略,并且通过分析COMEX与SHFE黄金期货市场的跨市场套利的情况,利用黄金期货结算价的变化来表示黄金期货价格的变动情况,寻找价差;总结SHFE和COMEX黄金期货跨市场套利的方案,并为其提供理论基础,帮助投资者更好地了解和运用跨市场套利进行套利。Because SHFE gold price and COMEX gold futures price,has a strong correlation,its price changes are affected by the changes in the international economy,according to the form of price changes,the international gold futures price trend can be found.This paper mainly studies the theoretical strategy of cross-market arbitrage,and by analyzing the situation of cross-market arbitrage between COMEX and SHFE gold futures market,it uses the change of settlement price of gold futures to represent the change of gold futures price,and looks for the price difference.This paper summarizes the cross-market arbitrage scheme of SHFE and COMEX gold futures and provides theoretical basis for investors to better understand and use cross-market arbitrage for arbitrage.

关 键 词：黄金期货套利 头寸 价差 

分 类 号：F72[经济管理—产业经济]