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Copper price fluctuations and empirical analysis of arbitrage strategy model

Author: WeiLongZuo
Tutor: ZhuZuo
School: Central South University
Course: Financial
Keywords: Periodic Fluctuation TGARCH Model T-VECM Model Threshold Vualues
CLC: F724.5
Type: Master's thesis
Year: 2012
Downloads: 24
Quote: 0
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As economy develops and investment consciousness changes,futures investment has been large in modern life.Futures market is characted by "High Income with High Risk",where investors has been keeping exploring its inherent law and seeking effective methods and tools for the benefit of income maxization and risk minimization.In the case of the increasing grobalization of economy,no nation can be indepent of the other and it is even so in copper market.The paper investigates the periodic performance of copper price in a macro level aimed at providing the basis for macroscopical policy and long-term strategies,and also studys the copper futures price relationship microscopically in Shanghai and London to present empirical evidence for short-term arbitrage.Since the general economy cycle determines the metal and metal price cycle reflects conomy so we drwm a conclude that metal price fluctuation is almost in fully step with GDP growth rate. By the fitting method of time series and fourier basis function,we study international copper price and find that it is determined by four mutually independent mid-long business cycle which tested a good fit with global economy.Long equilibrium relationship lies in homogeneous or similar goods,for arbitrage deal can shift price back to equilibrium rapidly.Based on copper futures closing price data in Shanghai and London,the paper bulids TGARCH model and T-VECM model and conduct residual analysis.The results show that bear-bull news make a further price shock in London than Shanghai and so does the price volatility repair,which will be a major base for market operation and futures supervision.The empirical results display an accordance between copper periodic moving and world economy which is manifested as the prosperity and depression of world economy drives copper price up and down.Comparing with two copper markets in Shanghai and London,we discover that they are in accord with wave direction but differ in fluctuation range and repair degree.So we verdict that the two market is non-linear relation and both own quick reversal in character,which brings a chance for copper arbitrage.

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