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Study on Rebar Futures Arbitrage

Author: WangXuZhi
Tutor: WangBaoSen
School: Hebei University of Engineering
Course: Management Science and Engineering
Keywords: Intertemporal arbitrage Arbitrage model Futures contracts
CLC: F724.6;F426.31
Type: Master's thesis
Year: 2010
Downloads: 245
Quote: 0
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Abstract


In this paper, based on the theory of intertemporal arbitrage , the use of the futures company learned during the internship and EVIEWS arbitrage analysis software, Shanghai Futures Exchange varieties of intertemporal arbitrage . Firstly, study abroad and the basic theoretical knowledge about arbitrage , futures intertemporal arbitrage from theoretical and practical significance perspective , discusses the feasibility of futures intertemporal arbitrage , through rebar contract on the Shanghai Stock Exchange introduced futures company introduced species customers do intertemporal arbitrage operation. Practice has proved that : the company 's customers to take arbitrage analysis in the futures market to achieve stable earnings and can obtain certain benefits. In this paper, the Shanghai Futures Exchange as the research object metal species intertemporal arbitrage research , first through arbitrage unit root test proved the feasibility and build mathematical models to analyze the data and found that the use of arbitrage model gives intertemporal arbitrage in the futures and the actual results corporate customers operating comparison, customer profitability model is not weaker than the results given . This confirms the stability of intertemporal arbitrage gains , a collection of academic research and practice are given a set of operational risk control for the majority of investors in futures methods of operation , providing some reference has practical significance.

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CLC: > Economic > Industrial economy > China Industrial Economy > Industrial sector economy
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