摘要
在传统的基差套利和比价套利的基础上,提出了一种新的套利方法——线性套利模型.介绍了线性套利模型的思想,并选取了相关性最高的上期所黄金期货和纽交所黄金期货,进行了跨市场线性套利的实证分析.
A new arbitrage method, linear arbitrage model is put forward based on the traditional basis arbi- trage and price arbitrage. The idea of the linear arbitrage model is introduced and the most relevant SHFE gold futures and NYFE gold futures are selected for empirical analysis of linear arbitrage by cross market.
出处
《曲靖师范学院学报》
2014年第6期15-18,共4页
Journal of Qujing Normal University
关键词
线性套利
商品期货
相关性
统计诊断
COOK距离
linear arbitrage
goods futures
relevant
statistical diagnosis
COOK distance
