基于行业分析的商品期货套利策略的研究.pdfVIP

基于行业分析的商品期货套利策略研究  a a a a 樊鹏英 ，张嘉为 ，毛志杰 ，杨海洋   (a. 中国科学院数学与系统科学研究院，北京，100190)  摘要：本文以 Michael T. Chng（2009）的分析思路为基础，提出了一套完整的基于行业分 析的商品期货的套利投资策略。基于汽车行业分析发现，钯、天然橡胶和汽油有可能存在紧 密的相互联系。进而以日本和中国两个市场的数据为基础，研究确认其相关关系并进行套利 投资策略模拟与分析，最终相关性分析与套利模拟相互验证。我们可以发现在日本市场三种 商品联系紧密，且三种商品期货市场已达到弱式有效，即基于商品历史信息难以收益，而仅 基于两种商品的套利策略也明显劣于多商品组合的投资策略。此外，商品本身历史信息的引 入对提高收益率没有帮助。在中国市场三种商品间同样存在联系，但是没有日本市场中商品 联系密切，且中国市场尚未达到弱式有效，即依靠自身历史信息仍能获利，基于三种商品的 套利组合仍旧能获得最高收益。最后，基于中国、日本两个市场的模拟结果均表明基于行业 分析的研究结果的多商品的套利策略能获得很高的收益率。  关键词： 行业分析 商品期货 套利 弱式有效 Arbitrage Strategy Based on Industry Analysis of the Commodity Futures a a a a Fan Pingying , Zhang Jiawei , Mao Zhijie , Yang Haiyang (a. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China) Abstract: This paper proposed a commodity futures arbitrage strategy based on industry analysis following Michael T. Chng(2009). Through the analysis of automotive industry, we find that there is close relationship among palladium, natural rubber and gasoline. In this paper, the data of Japanese market and Chinese market are used to confirm their relationship and simulate the arbitrage investment strategies. Mutual authentication is gained by Correlation analysis and arbitrage simulation. The simulation results show that these three commodities are closely connected. Further, these three commodities futures markets have reached weak form efficiency. It is hard to gain yield based only on the historical information of commodity. We also find that two commodities-based arbitrage strategies are clearly inferior to multi-commodity portfolio investment strategy. In addition, the hi