基于协整的期货跨品种套利研究——以黑色系期货为例
发布时间：2018-09-11 11:05
【摘要】：本文选取2014年1月至2016年11月的铁矿石、螺纹钢及焦炭期货的所有主力合约数据,首先通过协整检验发现,螺纹钢与铁矿石两者之间及螺纹钢、铁矿石与焦炭三者之间的存在长期较稳定的协整关系;再根据Jarque-Bera统计量分析发现,对螺纹钢、铁矿石及焦炭三者之间进行套利的效果最佳;再通过阈值测算,发现当开仓阈值为1时,套利交易的期望收益率最大。对样本内外的数据进行套利测试,结果发现样本内获得了32.18%的年化收益率、样本外获得了26.62%的年化收益率,均较为不错。
[Abstract]:This paper selects all the main contract data of iron ore, rebar and coke futures from January 2014 to November 2016. There is a long-term stable cointegration relationship between iron ore and coke. According to Jarque-Bera statistical analysis, it is found that arbitrage between rebar, iron ore and coke is the best. It is found that when the opening threshold is 1, the expected return of arbitrage trade is the highest. The results of arbitrage test show that the annual rate of return is 32.18% in the sample and 26.62% in the sample, which is quite good.
【作者单位】： 湖南财政经济学院;
【基金】：湖南财政经济学院青年教师科研基金项目(Q201408) 国家社科基金项目(13BJL039)
【分类号】：F724.5;F764
，
本文编号：2236517
[Abstract]:This paper selects all the main contract data of iron ore, rebar and coke futures from January 2014 to November 2016. There is a long-term stable cointegration relationship between iron ore and coke. According to Jarque-Bera statistical analysis, it is found that arbitrage between rebar, iron ore and coke is the best. It is found that when the opening threshold is 1, the expected return of arbitrage trade is the highest. The results of arbitrage test show that the annual rate of return is 32.18% in the sample and 26.62% in the sample, which is quite good.
【作者单位】： 湖南财政经济学院;
【基金】：湖南财政经济学院青年教师科研基金项目(Q201408) 国家社科基金项目(13BJL039)
【分类号】：F724.5;F764
，
本文编号：2236517
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