摘要
通过对农产品期货价格进行时间序列研究,建立农产品期货套利模型.论文以大豆和豆粕期货为例,在短期,确定两种农产品期货价格之间具有平稳性,进而建立误差分析模型拟合两者的相关关系.而在长期,建立以爆米花模型为基础的指数平滑模型,通过贴现因子调整模型拟合,并且用CUSCORE函数来确定突变时机使得模型活性化,最终结合长短期模型实现农产品期货价差套利.
In this paper, agricultural futures arbitrage models based on time - series studies is built. With the price data of soybean futures and soybean meal futures, in the short term, the error correction model to fit the stable relationship between the prices of two futures is constructed. While in the long term, a exponential smoothing model based on the popcorn model is established and adjusted by discount factors. The CUSCORE function is then used to locate the breaks to help the long term model predict the price change. We finally succeed in arbitrage trading with short term and long term models.
出处
《哈尔滨师范大学自然科学学报》
CAS
2016年第4期34-40,共7页
Natural Science Journal of Harbin Normal University
关键词
统计套利
协整
指数平滑法
CUSCORE函数
Statistical arbitrage
Cointegration
Exponential smoothing model
CUSCORE function
