基于三阶段门限自回归模型的我国豆粕期货市场跨期套利量化投资分析  

Quantitative Investment Analysis of Cross Period Arbitrage in China's Soybean Meal Futures Market Based on a Three-stage Threshold Autoregressive Model

作　　者：陈新华[1] CHEN Xin-hua(School of Economics and Trade,Zhongkai College of Agricultural Engineering,Guangzhou 510225)

机构地区：[1]仲恺农业工程学院经贸学院,广东广州510225

出　　处：《南方农村》2024年第5期17-24,共8页South China Rural Area

摘　　要：基于期货市场同一品种不同交割月份合约间价差的非线性特征及均值回复机制,利用存货理论、无套利定价理论和三阶段门限自回归模型研究了一种期货市场跨期套利量化交易策略,并利用大连商品交易所2017—2021年豆粕期货合约的日度价格数据对该策略进行了回测分析。研究发现:第一,从长期来看,豆粕期货合约近月份和远月份相差四个月的跨期套利组合价差自回归波动的上、下门限值并不显著,利用其作为判断无套利区间范围而进行跨期套利交易回测的盈利情况也并不稳定;第二,不同时间长度跨期套利组合价差序列门限的数值和显著性都存在较大差异,利用400天期价差序列门限值进行的动态量化投资回测效果要好于长期和短期价差序列;第三,整体来看,跨期套利的风险控制效果要优于投机交易,但是无套利区间不同的选取方式会使得量化投资策略的回测风险存在较大差异。Based on the nonlinear characteristics and mean reversion mechanism of price differences between contracts of the same variety with different delivery months in the futures market,a quantitative trading strategy for cross period arbitrage in the futures market was studied using inventory theory,no arbitrage pricing theory,and three-stage threshold autoregression model.The strategy was backtesting analyzed using daily price data of soybean meal futures contracts on the Dalian Commodity Exchange from 2017 to 2021.Research has found that,firstly,in the long run,the upper and lower threshold values of the autoregressive volatility of the cross period arbitrage portfolio spread of soybean meal futures contracts with a difference of four months between the near and far months are not significant,and the profit situation of cross period arbitrage trading backtesting using it as a judgment of the no arbitrage interval range is also unstable;Secondly,there are significant differences in the values and significance of the threshold for cross period arbitrage portfolio price difference sequences of different time lengths.The dynamic quantitative investment backtesting effect using the threshold value of the 400 day period price difference sequence is better than that of long-term and short-term price difference sequences;Thirdly,overall,the risk control effect of cross period arbitrage is better than speculative trading,but different selection methods of non arbitrage intervals can lead to significant differences in backtesting risk of quantitative investment strategies.

关 键 词：跨期套利 量化投资 存货理论 无套利定价理论 

分 类 号：F323.7[经济管理—产业经济]