豆油和棕榈油程序化套利交易模型实证研究

发布时间：2018-12-10 22:42

【摘要】：中国是全球主要的油脂油料生产国、贸易国和消费国之一,但是国内油脂行业的对外依赖度过高,食用油中50%来自于进口。其中,80%的豆油间接来源于进口,棕榈油完全依赖进口。缺乏油脂的国际定价权和话语权使得国内油脂企业普遍呈现低利润、高风险的特征。2007年之后的金融危机、欧债危机更是引起了国内主要油脂油料产品价格的大幅波动,对油脂企业造成了重大的经济影响。经过几年时间的运行,油脂期货已经趋于成熟,因此,本文选择豆油和棕榈油期货为研究对象进行跨品种套利模型设计,以期为油脂企业及其他投资者进行套利交易提供一定参考。文章首先探讨了豆油棕榈油期货之间的替代关系和套利可行性,为后续套利模型设计做理论铺垫。然后,分别运用统计套利和趋势套利两种不同的套利方式进行套利模型设计,通过文华财经软件编制不同的程序化套利交易模型,进行实证分析。目的在于比较两种套利模型的套利策略、收益率、适用条件等不同之处,寻找最适合的套利交易模型。研究发现,二者各有所长,投资者在进行套利交易时可以结合使用：在商品价格平稳时,以统计套利为主,操作过程中以趋势套利为参考；在商品价格波动剧烈时,主要采用趋势套利,在套利操作过程中,以统计套利为参考。如此,方能提高套利成功的可能性,获得最大收益。
[Abstract]:China is one of the world's major oil producers, traders and consumers, but the domestic oil industry is highly dependent on foreign countries, with 50% of cooking oil coming from imports. Among them, 80% soybean oil indirectly comes from the import, palm oil completely depends on the import. The lack of international pricing power and the right to speak of oils and fats makes domestic oil and fat enterprises generally present the characteristics of low profit and high risk. After the financial crisis of 2007, the European debt crisis has even caused large fluctuations in the prices of the main oil and oil products in China. It has a great economic impact on oil and fat enterprises. After several years of operation, oil futures have become mature. Therefore, this paper chooses soybean oil and palm oil futures as the research object to carry out cross-variety arbitrage model design. With a view to oil and fat enterprises and other investors carry out arbitrage transactions to provide a certain reference. This paper first discusses the substitution relationship and arbitrage feasibility of soybean oil palm oil futures, and makes a theoretical foundation for the subsequent arbitrage model design. Then, two different arbitrage models are designed by statistical arbitrage and trend arbitrage, and different programmed arbitrage trading models are compiled by Wenhua financial software to carry out empirical analysis. The aim of this paper is to find the most suitable arbitrage trading model by comparing the different arbitrage strategies, returns and applicable conditions between the two arbitrage models. The study found that the two have their own strong points, investors can be used in carrying out arbitrage trading: when commodity prices are stable, statistical arbitrage is the main factor, and trend arbitrage is the reference in the process of operation; When commodity prices fluctuate violently, trend arbitrage is mainly used, and statistical arbitrage is the reference in arbitrage operation. In this way, we can increase the probability of arbitrage success and maximize the benefits.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5

【参考文献】