Abstract: It is very convenient to make arbitrage in future market because the future market is very different from the stock market, and there exists natural shorting mechanism in future market. Therefore, this paper primarily focuses on the future market in China and conducts an empirical study of the calendar spread arbitrage strategy. Firstly, we introduce relative theory of calendar spread arbitrage and propose an operable set of strategies in arbitrage trading. Secondly, based on this trading strategy, we conduct some empirical analysis of 15 kinds of combinations of cotton future, which is listed in Zhengzhou Commodities Exchange. Finally, we analyze the number of calendar spread arbitrage opportunity, yield of rate, the number of hedge being unwind, the number of physical delivery, the management of position, the amount of additional margin funds and so on. Hence, we can get a conclusion that the models and strategies in calendar spread arbitrage are feasible in our future market.

Key words: future, arbitrage, calendar spread arbitrage

摘要： 不同于股票市场,期货市场存在天然的做空机制,非常方便进行套利操作。本文以我国的期货市场为研究对象,主要针对跨期套利进行实证研究。首先介绍了跨期套利,并提出了一套完善的、可操作的套利交易策略。其次,在此基础上,我们选取郑州商品交易所的期货的棉花的15种组合(不同交割月份)所有历史数据进行测试,最后,我们分析了该策略下跨期套利机会出现次数、收益率、对冲平仓次数、实物交割次数、仓位管理、保证金追加等方面。实证结果表明,本文所提出的跨期套利模型以及相应的策略在我国的期货市场是可行的。

关键词: 期货, 套利, 跨期套利