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Research on Soybean Oil and Palm Oil Program Arbitrage Trading Model

Author: XieJiaXin
Tutor: YangYanJun
School: Central South University
Course: Financial
Keywords: cross-commodity arbitrage ECM trend model programtrading
CLC: F724.5
Type: Master's thesis
Year: 2013
Downloads: 80
Quote: 0
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Abstract


China is one of the major global fuel oil-producing,trading and consuming countries.However, the oil industry in China rely on imports for a great extent. Almost50percent of edible oils are imported, among which80percent soybean oil is from import and palm oil is totally depend on imports. Lacking of international pricing power of oils makes domestic oil companies present low-margin and high-risk characters. Especially when the financial crisis and European debt crisis happened after2007, the price of oil product moves very sharply, resulted in a significant influence on the oil companies.Since the oil future is entering its mature stage after years’running, this article choose soybean oil future and palm oil future to build a arbitrage model, which may help the oil companies transfer the price risk.This article first discusses the alternative relationship between soybean oil future and palm oil future to find the feasibility of arbitrage trading. Then,using the ECM model and trend model to build two program arbitrage trading models,and conduct empirical analysis. The aim of this empirical analysis is comparing these two arbitrage models so that we can find which is the most suitable model.Study found that both models have there own advantages and disadvantages, Investor can combine these models.when the price of oil futures are stable investors can trade depend on ECM model and use trend model as reference;when the price of oil futures are fluctuate widely, investors should trade according to tends model and use ECM model to avoid small reverse fluctuates of oil price.

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CLC: > Economic > Trade and Economic > China's domestic trade and economic > Circulation of commodities > Futures Trading
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