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商品期货跨品种套利研究文献综述 被引量:2

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摘要 商品期货跨品种套利可以划分为基于上下游产业链的过程套利和基于替代关系的替代套利两类。套利交易中,品种对象选择基于相关性、平稳性和流动性特征;根据均值回复特点,从价格协整分析中确定套利信号机制;依照投入产出关系等因素合理确定头寸。未来研究应当侧重期货套利管理风险,探索非线性模型方法和应用日内高频数据。
作者 顾全 雷星晖
出处 《江西行政学院学报》 2013年第3期59-63,共5页 Journal of Jiangxi Administration College
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