期货市场跨商品套利机制研究及实证分析

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1、西南交通大学硕士学位论文期货市场跨商品套利机制研究及实证分析姓名：曹晓科申请学位级别：硕士专业：工商管理指导教师：傅浩20080401西南交通大学硕士研究生学位论文第1I页AbstractArbitrageisakindofhedgingstrategyinportfolioinvesting，asameanapproachtoevadefuturetradingrisk，it’Sbeenworld-wildlyusedbyallkindsofinvestfundingandotherfinancialinstitution．Crosscommodityar

2、bitragingisoneofthearbitrages．Thereareseveralcommoditieswhichcantaketheplaceofanotheroreffectedbyasamedemand-supplyfactorandthemovementofthesecommoditycontracts’priceinthefuturesmarketiStowardsamedirectionoroppositionalway．Crosscommodityarbitragingcanmakeprofitbycatchingthetradingo

3、pportunity．Asakindofarbitrage，crosscommodityarbitragingisveryimportantastothepricediscovery，marketactivityandriskmanagement．ResearchanddevelopmentofarbitrageiSessentialtothedevelopmentandstabilityoffuturesmarket．Atfirst，thepaperintroducedtheconceptofarbitraging，thefeaturesandfuncti

4、onoffuturearbitraging，thebasicclassificationandmechanismofcrosscommodityarbitraging．Inchapterthree，thetechniqueanalysisforcrosscommodityarbitragingWasdiscussed，andtwoarbitragingmodelwereestablished：crosscommodityarbitragingandthesameindustrycrosscommodityarbitraging．Afterthese，ther

5、angeofthepricedifferenceinsoybeanindustrywasdefinedaccordinghistoricaldata．ByusingthelatestdateoftheDaliancommodityexchange．themodelempiricaltestsweremadeinthechapterfour．Finally，morediscussionsweregivenbasedontheresultsoftest．Theconclusion：1．Thefuturesmarkethasthefunctionofpricedi

6、scovery,whethercrosscommodityarbitragingorthesameindustrycrosscommodityarbitraging，therearechancesforarbitrage；2．Becausethecomplexrelationsbetweenthecommodities，theresultswhichbasedonhistoricaldatemaybecomeineffective；3．Thereshouldberiskcontrolintheprocessofarbitrage．Keywords：futur

7、e；crosscommodityarbitraging；thesameindustrycrosscommodityarbitraging；arbitragingrisk西南交通大学学位论文版权使用授权书本学位论文作者完全了解学校有关保留、使用学位论文的规定，同意学校保留并向国家有关部门或机构送交论文的复印件和电子版，允许论文被查阅和借阅。本人授权西南交通大学可以将本论文的全部或部分内容编入有关数据库进行检索，可以采用影印、缩印或扫描等复印手段保存和汇编本学位论文。本学位论文属于1．保密口，在年解密后适用本授权书；2．不保密j，使用本授权书。(请在以上方框内打

8、“√")学位论文作者签名若日粒扛形g年箩月一29日西