黄金期货市场套利研究.详解.doc

题目：黄金期货市场套利研究 院 系 专 业 班 级 学生姓名 学 号 导师姓名 导师职称 2014 年 03 月 16 日 【摘要】 与世界上其他黄金期货市场相比我国黄金期货市场具有以下3个特点：1、走势频繁出现跳空；2、交易日内黄金期货价格变动小；3、非主力的黄金期货合约成交量小。因此黄金期货市场利用正反向市场进行期现套利是目前较谨慎、较稳妥的交易方式。在“中国大妈”疯狂抢金背后揭示的是我国投资者不理性投资的本质，而中国如何突破现阶段黄金市场瓶颈期走出低迷困境是值得我们去深思和探讨的重大课题。本文将以黄金期货的正反向市场套利理论和成本理论作为突破口，构造黄金期货无套利区间，如果无套利区间被价差突破，投资者便可以进入黄金期货市场进行套利交易，当价差重归无套利区间或者当市场正在进行正反向市场交替更新时，则必须终止交易策略，最后追踪价差的变化作为辅助完善黄金期货套利交易策略，力求寻出当前我国黄金期货市场走出黄金投资困境之道。 关键词：黄金期货；黄金期货套利；成本理论；无套利区间；黄金投资 【Abstract】 There are three characteristics of Gold futures market in China :1,situation frequently jump empty; 2,small changes in prices of trading days; 3,the main contrast volume small. Gold futures market using positive and negative to the market to inter-temporal set of punishment is more cautions, more safe way to trade. Behind the crazing rob of “China Boyle” reveals that the essence of the irrational investment. While China how to break through the bottleneck period out of the downturn in the gold market at present stage haze is worth us to ponder and explore the major issue .In the paper, the bull market in gold futures forward and reverse market arbitrage theory as the breakthrough point. And the construct gold futures no-arbitrage interval , if no-arbitrage interval is spreads breakthrough ,investors will be able to enter the Gold futures market carry trade, when no-arbitrage spreads back range or when the market In positive and negative alternating update to the market, you must terminate trading strategy.,and finally to track the gold futures changes of the price differences as auxiliary perfect gold futures arbitrage strategy, makes every effort to find out the current our country gold futures market out of the way of gold investment dilemma. Key words: gold futures; Gold futures arbitrage; No arbitrage interval; Gold investment 目录 一、绪论 5 （一）研究背景 5 （二