Research on Cross-Variety Arbitrage Strategy of Metal Futures in China

Abstract

With the vigorous development of China’s futures market, the number of varieties is gradually increasing, the number of investors is increasing, and the liquidity of futures is getting better and better. The “T+0” trading mechanism of the futures market makes arbitrage traders prefer to carry out arbitrage in the futures market. Cross-variety arbitrage is one of the main ways of arbitrage in China’s futures market, and its key is to find the appropriate variety combination and arbitrage strategy. The purpose of this paper is to conduct scientific and detailed research and analysis on futures cross-variety arbitrage, so that investors can have a comprehensive and in-depth understanding of it to enhance investor education, and on this basis, find appropriate variety combinations and design cross-variety arbitrage strategies and empirically test the effect of the strategies, so as to provide reference for investors and enrich the existing research on futures cross-variety arbitrage strategies.