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本文通过协整与历史数据模拟的分析方法,对大连期货交易所与芝加哥期货交易所5月大豆合约进行了套利分析,结果表明,两者之间存在着长期稳定的关系和很高的套利回报率,文中也进一步分析了其存在的原因。
In this paper, an arbitrage analysis of May soybean contract between Dalian Futures Exchange and Chicago Board of Trade was conducted through the analysis of co-integration and historical data simulation. The result shows that there is a long-term and stable relationship between the two and a high arbitrage return Rate, the article also further analyzed the reasons for its existence.