analysis of intertemporal tax arbitrage and risk-control analysis（跨时期的税收套利分析和风险控制分析）.docVIP

Analysis of intertemporal tax arbitrage and risk-control analysis [Abstract] In the metal and grain futures markets, intertemporal arbitrage opportunities occur frequently. In this paper, the intertemporal arbitrage based on principles and methods, with emphasis given on how to avoid the intertemporal arbitrage to open the fare between the final settlement price with VAT problems with, because the greater the spread, the higher value-added tax. In this paper, the analysis of operating model, given a more practical value-added risk management solutions. [Keywords] arbitrage trading, intertemporal arbitrage, risk control; value-added tax (VAT I. Introduction Since the last since the mid-1990s, in the futures market, as opposed to unilateral speculative carry trade has the low-risk, stable income characteristics, ‘carry’ gradually became some of the abuse and to attract institutional investors, futures the customer’s excuse fact arbitrage is not as simple as many people think, we must make good use of futures contracts momentum and parity operation model, choose the right time and strict operating principles, in order to achieve profitable results. no small investors, regardless of the timing of maturity arbitrage, spread arbitrage and regardless of whether the operation of the model given in extreme conditions, but does not track whether the trend spread to adapt to fluctuations in the direction of arbitrage, but the error of thinking that, as long as ‘ a buying and selling, ‘you can enjoy stable profits, does not know how many investors because the price difference is not begin with the return. Second, the theoretical basis for intertemporal arbitrage This theory is mainly based on economics, ‘Law of One Price’ (law of one price and finance the ‘no-arbitrage equilibrium theory’ (no arbitrage rules and Woking ‘storage theory.’ ‘Law of One Price,’ and require the same combination of assets (representing the same result must follow a single o