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在套利理论的基础上,以我国橡胶期货市场和日本橡胶期货市场为代表进行期货市场价格关系分析。在跨市套利理论的基础上对两个市场进行合理价格区间界定,分析数据研究两个市场的价格相对关系;以此为基础,筛选出价格异常信息,通过结合天然橡胶的周期特性,对异常信息进行解读,最终分析异常剩余信息的形成机理,更好地解读了我国期货市场的价格发现功能,体现了其作为高效价格信号市场的作用。
Based on the arbitrage theory, this paper analyzes the relationship between the futures market price in China’s rubber futures market and Japan’s rubber futures market. On the basis of cross-market arbitrage theory, this paper defines the reasonable price range of the two markets and analyzes the relative price relationship between the two markets. Based on this, the price abnormal information is screened out. By combining the periodic characteristics of natural rubber, This paper analyzes the formation mechanism of abnormal surplus information and interprets the function of price discovery in our futures market better and reflects its role as a market of efficient price signal.