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Empirical Study of Calendar Spread Arbitrage in Chinese Future Market

ZHU Li-rong;SU Xin;ZHOU Yong;Institute of Applied Mathematics,Academy of Mathematics and Systems Science,Chinese Academy of Sciences;Postdoctoral Station,Shanghai Stock Exchange;School of Statistics and Management,Shanghai University of Finance and Economics;  
It is very convenient to make arbitrage in future market because the future market is very different from the stock market,and there exists natural shorting mechanism in future market. Therefore,this paper primarily focuses on the future market in China and conducts an empirical study of the calendar spread arbitrage strategy.Firstly,we introduce relative theory of calendar spread arbitrage and propose an operable set of strategies in arbitrage trading. Secondly,based on this trading strategy,we conduct some empirical analysis of 15 kinds of combinations of cotton future,which is listed in Zhengzhou Commodities Exchange. Finally,we analyze the number of calendar spread arbitrage opportunity,yield of rate,the number of hedge being unwind,the number of physical delivery,the management of position,the amount of additional margin funds and so on. Hence,we can get a conclusion that the models and strategies in calendar spread arbitrage are feasible in our future market.
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