论文部分内容阅读
本文以在中国期货市场上存在长期协整关系的铝和铜为例,探索性分析了进行跨商品价差交易的可行性。通过模拟交易发现,价差交易机会在历史上是存在的,其平均利润显著大于零,表明跨商品价差交易策略在我国期货市场上是可行的。
This article takes the aluminum and copper which have long-term cointegration relationship in the Chinese futures market as an example to explore the feasibility of cross-commodity spread trading. Through the simulated trading, it is found that the spread trading opportunity exists in history and its average profit is significantly greater than zero, indicating that the cross-commodity spread trading strategy is feasible in the futures market of our country.