基于农产品期货的跨品种套利投资策略研究

Research on Cross Variety Arbitrage Investment Strategy Based on Farm Product Futures

文章以大豆和豆粕期货合约价格为研究对象,以2010-2017年合约价格为样本,通过检验两种农产品期货合约的协整关系,确定套利头寸,并在描述分析价差序列统计特征的基础上,利用套利利润期望函数计算交易阀值,用VaR方法确定风控阀值,制定统计套利策略,再通过实证进行套利效果评估,验证套利策略可行性。文章为豆类期货跨品种套利提供了可靠的理论依据,对投资者更好地利用农产品期货市场进行套利投资有一定的帮助。

Taking soybean and soybean meal futures contract prices as the research object,taking 2010-2017 contract prices as samples,this paper determines the arbitrage position by examining the cointegration relationship of the two farm product futures contracts.Based on the analysis of the statistical characteristics of the price difference series,it calculates the transaction threshold value by using the arbitrage profit expectation function,determines the risk control threshold value with VaR method,and formulates the statistical arbitrage strategy.Then,the arbitrage effect is evaluated by empirical analysis to verify the feasibility of arbitrage strategy.This paper provides a reliable theoretical basis for soybean futures cross variety arbitrage and helps investors to make better use of farm product futures market for arbitrage investment.