Empirical Analysis and Related Strategies of Futures Commodity Cross – Variety Arbitrage

DOI

10.2991/978-94-6463-326-9_53How to use a DOI?

Keywords

rebar; coke; iron; linear regression; cross-variety arbitrage; factor analysis

Abstract

Applied to futures market about rebar RB2305, coke J2305, iron IM2305, in three different types of products, meanwhile carrying on Multi-variety arbitrage, this essay will use some knowledge about econometrics, utilize futures market data analysis from about 2022.6.1 to 2023.4.27, which is carried out in areas such as rebar, iron and coke future price in many ways. Besides, it employs many inspection forms such as anisotropic variance test,T test and so on. Thus it can be proof of the future market which includes rebar,coke,iron cross-breed 2305 contract range arbitrage model and there is room for feasibility. It can foresee and determine the liner model relationship of the three parts, RB = 910.4844 + 0.862298J + 0.939140IM. On 2023. 4 .28, the three closing prices of rebar, coke, iron in the Contract 2401 respectively are 3583 yuan/ ton, 2174yuan/ton,862yuan/ton. If the prices of iron and coke agree with their inner price, then the estimated price of steel bar should be at 3596 yuan/ton, and there will be a gap of 13 yuan compared with the actual price, which means there will be profit margin and arbitrage can be proceeded. In this paper, empirical analysis of the legend is applied with Eviews9 and SPSS 26.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Yilin Li
PY  - 2023
DA  - 2023/12/30
TI  - Empirical Analysis and Related Strategies of Futures Commodity Cross – Variety Arbitrage
BT  - Proceedings of the 2023 3rd International Conference on Business Administration and Data Science (BADS 2023)
PB  - Atlantis Press
SP  - 511
EP  - 521
SN  - 2589-4900
UR  - https://doi.org/10.2991/978-94-6463-326-9_53
DO  - 10.2991/978-94-6463-326-9_53
ID  - Li2023
ER  -