商品期货套利的理论与实践-技术经济与管理专业论文.docxVIP

摘要本文主要论述商品期货套利的理论与实践。期货市场参与者的动机和目的只 摘要 本文主要论述商品期货套利的理论与实践。期货市场参与者的动机和目的只 有一个——套利。从期货市场参与者动机的角度，可以将其分为：保值套利、对 冲套利和投机套利三种形式。人们对期货市场本质的认识，也是经过从“投机市 场”、“保值市场”发展到“套利市场”的过程。期货市场的收益和风险共存。依 据期货市场参与者的动机，可以将收益分为：基差、级差和极差。风险分为：系 统风险和非系统风险。期货市场传统的分析方法有基本面分析和技术面分析二 种。随着金融理论和计算机技术的发展，金融工程学已经成为市场分析的第三种 手段。这三种手段有不同的理论基础和侧重面。我国商品期货市场经过多年的整 顿和规范，已经为今后的发展打下了较为坚实的基础。但有些观念仍然束缚我们 的思维，阻碍市场的发展。本人认为：商品期货不是零和游戏，它是商品市场流 通体系中的一种形式，生产者、消费者和投资者在套利活动中获得双赢，是提高 市场流通效率的必然产物。它所获得的是社会平均利润。我国是发展中国家，现 已加入WTO，利用期货市场分散风险，提高市场效率，积极参与国际市场竞争 具有重要的意义。 关健词t套利、商品期货 AbstractThis Abstract This paper focuses on the theory and practice of arbitrage Oil commodity futures．The motive of the participant is just arbitrage．Based on the motive，there are three kinds of arbitrage：hedge arbitrage，offset arbitrage and speculation arbitrage。The concept of the nature of future market is also divided into three stages：speculation market,hedge market，and now，arbitrage market．The return， which involves basis，differentials and deviation,stands by the risk which involves systematic and unsystematic in the future market．The traditional method is fundamental and technical analysis．Wim development of financial theory and computer technology,financial engineering has been the third method besides fundamental and technical analysis．These three kind methods have different ground and different perspective．Though the long-term rectification and normalization in the domestic market，there are too many concepts which bond our ideas and hinder the development of the market。In my opinion，commodity future trade is not a zero—SLIm game，but a main part of the commodity circulation system in which the produce嚣consumer and investor call get social average profit。The commodity future market is necessary to the efficiency of circulation in market．It is significant for China,a developing country and the new number of WTO，to disperse risk， improve the market efficiency and participate in the global competition through future market． Key Words：arbitrage，c