摘要
在简要分析大豆提油套利的理论基础后,基于2006年到2012年6月间的大样本日度交易数据对大豆、豆油、豆粕三者间的数量关系进行了计量实证,实证结果证明提油套利收益率和成功率较高,而反向提油套利则大部分不能成功。
The paper analyzes the basic knowledge of soybean crush spread arbitrage and carries on an empirical analysis on the quantitative relationship between soybean, soybean oil and soybean meal based on the daily trading data of large samples from Jan 2006 to Jun 2012. The results shows that the soybean crush spread arbitrage has high returns and success rate while the reverse soybean crush arbitrage has relatively low success rate.
关键词
套利
期货
提油套利
arbitrage
futures
soybean crush spread arbitrage
