商品期货套利中价差的影响因素与套利模型的构建
摘要
套利作为一种微观经济行为在人类社会中已经存在了数百年,从古典商品套利到现代金融套利,套利行为随着社会经济的发展而演变,套利资本逐渐成为资本市场的重要组成部分。套利交易具有波动小、风险小并且适合大资金运作的特点,决定了套利行为成为完善市场功能发挥、提高市场流动性的重要力量。
本文从风险对冲的角度重新诠释套利操作,套利是通过相关性很高的两个合约之间的对冲来投机价差的变化,在合约对冲的背后实际上是影响合约价格的风险因素的对冲,在一买一卖的过程中,套利操作对冲掉资产价格运动中的一部分不确定性因素对价格所产生的影响,留下的价格影响因素中相对可以把握的部分进行投机,因此从表现形式上,套利将投机价格波动转变为投机价差波动。因而如何通过对冲将相关合约中不确定的因素规避,从而留下相对确定性的因素去投机,成为一个套利策略好坏的核心问题。本文以沪铜跨期价差为例,从价差的外部性条件、动态分析、季节因素分析、影响因素的实证分析等七个方面对价差进行研究,并根据分析的结果设计出套利模型,模型表现出很高的胜率。
本文的创新之处在于从风险对冲的角度对套利操作重新进行诠释,并将风险对冲的思路应用到实战中去,取得了不错的效果。
Arbitrage as a micro-economic behavior in human society has existed for hundreds of years, from classical to modern financial commodity arbitrage arbitrage, arbitrage acts as the social and economic development and the evolution of arbitrage capital has become a major capital market components. Arbitrage trading is volatile small, risky and suitable for the characteristics of the operation of huge amounts of capital determines the behavior to be the perfect functioning of markets arbitrage play, and improve market liquidity of the important forces.
In this paper, the angle of re-interpretation of the risk arbitrage hedge operations, arbitrage through a high correlation between the two contracts hedging to speculation spread changes in the contract had actually been behind the hedge contract price of the risk factors affecting hedge , in a process of buying and selling, arbitrage operations on the obliterated part of asset price movements uncertainties in the impact on prices, leaving the relative price of factors can grasp some to speculate, so from the performance of Formally, arbitrage would be speculative price fluctuations into speculative volatility spreads. And thus how to hedge the uncertainties related to the contract to avoid, leaving the relative certainty of the factors to speculation, arbitrage strategy to become a core issue of good and bad. In this paper, Shanghai copper intertemporal spreads, for example, from the spread of the external conditions, dynamic analysis, seasonal analysis, empirical analysis of influencing factors to the spread in seven study areas and, based on results of the analysis designed arbitrage model, model shown a very high winning percentage.
Innovations of this article is from the perspective of risk-arbitrage hedge operation of re-interpretation, and the idea of risk-hedging applied to actual combat and attain good results.
本文从风险对冲的角度重新诠释套利操作,套利是通过相关性很高的两个合约之间的对冲来投机价差的变化,在合约对冲的背后实际上是影响合约价格的风险因素的对冲,在一买一卖的过程中,套利操作对冲掉资产价格运动中的一部分不确定性因素对价格所产生的影响,留下的价格影响因素中相对可以把握的部分进行投机,因此从表现形式上,套利将投机价格波动转变为投机价差波动。因而如何通过对冲将相关合约中不确定的因素规避,从而留下相对确定性的因素去投机,成为一个套利策略好坏的核心问题。本文以沪铜跨期价差为例,从价差的外部性条件、动态分析、季节因素分析、影响因素的实证分析等七个方面对价差进行研究,并根据分析的结果设计出套利模型,模型表现出很高的胜率。
本文的创新之处在于从风险对冲的角度对套利操作重新进行诠释,并将风险对冲的思路应用到实战中去,取得了不错的效果。
Arbitrage as a micro-economic behavior in human society has existed for hundreds of years, from classical to modern financial commodity arbitrage arbitrage, arbitrage acts as the social and economic development and the evolution of arbitrage capital has become a major capital market components. Arbitrage trading is volatile small, risky and suitable for the characteristics of the operation of huge amounts of capital determines the behavior to be the perfect functioning of markets arbitrage play, and improve market liquidity of the important forces.
In this paper, the angle of re-interpretation of the risk arbitrage hedge operations, arbitrage through a high correlation between the two contracts hedging to speculation spread changes in the contract had actually been behind the hedge contract price of the risk factors affecting hedge , in a process of buying and selling, arbitrage operations on the obliterated part of asset price movements uncertainties in the impact on prices, leaving the relative price of factors can grasp some to speculate, so from the performance of Formally, arbitrage would be speculative price fluctuations into speculative volatility spreads. And thus how to hedge the uncertainties related to the contract to avoid, leaving the relative certainty of the factors to speculation, arbitrage strategy to become a core issue of good and bad. In this paper, Shanghai copper intertemporal spreads, for example, from the spread of the external conditions, dynamic analysis, seasonal analysis, empirical analysis of influencing factors to the spread in seven study areas and, based on results of the analysis designed arbitrage model, model shown a very high winning percentage.
Innovations of this article is from the perspective of risk-arbitrage hedge operation of re-interpretation, and the idea of risk-hedging applied to actual combat and attain good results.
引文
[1]中国期货业协会,《期货市场教程》,中国财政经济出版社,2009年版
[2]理查德·特维莱丝著,周刚,王化斌译《期货交易使用指南》,经济科学出版社,2000年版
[3]曾五一,朱平辉,《统计学》,北京大学出版社,2006年版
[4]约翰·赫尔著,张陶伟译,《期权、期货和其他衍生产品》,华夏出版社1999版
[5]哈利·M.马科维兹著,朱箐,欧阳向军译,《资产组合选择和资本市场的均值-方差分析》,上海人民出版社,2006年版
[6]特伦斯·C·米尔斯著,俞卓箐译,《金融时间序列的经济计量学模型》,经济科学出版社第二版
[7]童宛生,常清,胡俞越,《中国期货市场前沿问题研究》,中国商务出版社,2007年版
[8]宋逢明,《金融工程原理:无套利均衡分析》,清华大学出版社,1999年版
[9]王明华,《金融工程与金融效率相关问题研究》,中国经济出版社,2001年l月
[10]胡俞越,尹政,套利交易—股指期货市场的稳定器[N],期货日报2007年
[11]丁秀玲,华仁海,大连商品交易所大豆与豆粕期货价格之间的套利研究,统计研究, 2007
[12]吴志峰,套利与市场均衡:对中国证券市场失衡的套利分析,暨南大学博士学位论文2003年
[13]鲍建平,《我国铜期货市场有效性实证分析》.上海期货交易所研究报告,2003
[14]陈建文,豆类套利在金融风暴中显风采,黑龙江粮食,2008
[15]徐志谋,关注大豆、豆粕跨期套利机会,饲料广角,2007
[16]无著,连豆与豆粕比价套利的季节性分析,饲料广角,2008
[17]赵洋,实物期货价格套利与互动关系研究,现代商贸工业,2008
[18]代文卉,制定跨期套利计划,中国科技信息,2009
[19]唐衍伟,商品期货价差套利投资决策理论研究,2006,
[20]盖俊龙,《商品期货跨期套利模型及其实证分析》,南京航空航天大学研究生学位论文,2006
[21]卢伟忠,《中国商品期货套利交易模型和投资方案》.西南财经大学研究生学位论文,2006
[22]Frank J.Fabozzi,Bond Markets,Analysis And Strategies 4,【M】
[23] Cochrane John.Volatility tests and efficient markets: A review essay . Journal of Financial Economics ,1988.22
[24] Brennan,M.J.The piece of convenience and the valuation of commodity contingent claims [M]. in stochastic models and option values :Application to resource ,environment and investment problems ,Amsterdam: NORTH HOLLAND:1991
[25] Herbst,A,Kare,D,Marshall,J. A time varying, convergence adjusted , minimum risk futures hedge ratio [J]. Advances in Futures and Options Research . 1989, VOL. 6:137-155
[25] Zhiwu Chen and PeterJ. Knez Measurement of Market Integration and arbitrage The Review of Financial Studies.1995;Vol.8.No.2:PP.287一325
[26] Roberto Serrano & Osear Volijz . Walrasian Allocations Without Price-Taking Behavior Journal of Eeonomic Theory. 2000 ; Vol 95:PP.79一106
[27]Sharpe.W.F. A Simplified Model for Portfolio Analysis [J].Management Science 9, January, 1963.
[28]Renata Mansini,Wodzimierz Ogryczak and M.Grazia Speranza.LPSolvable Models for Portfolio Optimization: A Classification and Computational Comparison[R].WorkingPaper,December,2001(Revision of July,2003).
[29]Markowitz. Harry. M. Portfolio selection[J].Journal of Finance (1952).
[30]Carola Lawton-Browne. An alternative calculation of tracking error [J].Journal of Asset Management Vol.2, 2001.
[31]Mossin.Optimal Multi-Period Portfolio Policies[J].Journal of88 Business, April1968.
[32]Frino.A, D.R.Gallagher.Tracking S&P 500 Index Funds [J].The Journal off Portfolio Management, Vol.28, NO.1, 2001.
[33]Osborne, M.E.M.Brownian Motions in the Stock Market [J].Operations Research 7, March-April 1959.
[34]Alexander, S.A.Price Movements in Speculative Markets: Trends or Random Walks[J].Industrial Management Review, 2, May, 1961.
[35]Frino.A.Index Design and Implications for Index Tracking: Evidence from S&P 500 Index Funds [J].The Journal of Portfolio Management, Winter Issue2004.
[36]Lintner.Security Prices, Risk and Maximum Gains from Diversification [J].Journal of Finance December, 1965.
[37]Markus Rudolf, Hans-Jurgen wolter, Heinz Zimmermann. A linear model for tracking error minimization [J].Journal of Banking&Finance 23, 1999.
[38]Mark Potter. What You See is not What You Get: Mutual Fund Tracking Error and Fund Diversification Properties[R].WorkingPape.r
[39]Frino.A, D.R.Gallagher.Is Index Performance Achievable? An Analysis of Australian Equity Index Funds [J].Abacus, Vol.38, No.2, 2002.
[40]Sharpe. William F.A Simplified Model for Portfolio Analysis[J].Management Science, January 1963.
[41]Richard Roll.A Mean/Variance Analysis of Tracking Error [J].The Journal off Portfolio Management, 1992.90
[42]Mark B.Wise, Vineer Bhansali.Diversification and GeneralizedTracking Errors for Correlated Non-Normal Returns[R].Working Paper
[43]Eugene F.Fama.Components of investment performance [J].Journal of Finance (1972).
[2]理查德·特维莱丝著,周刚,王化斌译《期货交易使用指南》,经济科学出版社,2000年版
[3]曾五一,朱平辉,《统计学》,北京大学出版社,2006年版
[4]约翰·赫尔著,张陶伟译,《期权、期货和其他衍生产品》,华夏出版社1999版
[5]哈利·M.马科维兹著,朱箐,欧阳向军译,《资产组合选择和资本市场的均值-方差分析》,上海人民出版社,2006年版
[6]特伦斯·C·米尔斯著,俞卓箐译,《金融时间序列的经济计量学模型》,经济科学出版社第二版
[7]童宛生,常清,胡俞越,《中国期货市场前沿问题研究》,中国商务出版社,2007年版
[8]宋逢明,《金融工程原理:无套利均衡分析》,清华大学出版社,1999年版
[9]王明华,《金融工程与金融效率相关问题研究》,中国经济出版社,2001年l月
[10]胡俞越,尹政,套利交易—股指期货市场的稳定器[N],期货日报2007年
[11]丁秀玲,华仁海,大连商品交易所大豆与豆粕期货价格之间的套利研究,统计研究, 2007
[12]吴志峰,套利与市场均衡:对中国证券市场失衡的套利分析,暨南大学博士学位论文2003年
[13]鲍建平,《我国铜期货市场有效性实证分析》.上海期货交易所研究报告,2003
[14]陈建文,豆类套利在金融风暴中显风采,黑龙江粮食,2008
[15]徐志谋,关注大豆、豆粕跨期套利机会,饲料广角,2007
[16]无著,连豆与豆粕比价套利的季节性分析,饲料广角,2008
[17]赵洋,实物期货价格套利与互动关系研究,现代商贸工业,2008
[18]代文卉,制定跨期套利计划,中国科技信息,2009
[19]唐衍伟,商品期货价差套利投资决策理论研究,2006,
[20]盖俊龙,《商品期货跨期套利模型及其实证分析》,南京航空航天大学研究生学位论文,2006
[21]卢伟忠,《中国商品期货套利交易模型和投资方案》.西南财经大学研究生学位论文,2006
[22]Frank J.Fabozzi,Bond Markets,Analysis And Strategies 4,【M】
[23] Cochrane John.Volatility tests and efficient markets: A review essay . Journal of Financial Economics ,1988.22
[24] Brennan,M.J.The piece of convenience and the valuation of commodity contingent claims [M]. in stochastic models and option values :Application to resource ,environment and investment problems ,Amsterdam: NORTH HOLLAND:1991
[25] Herbst,A,Kare,D,Marshall,J. A time varying, convergence adjusted , minimum risk futures hedge ratio [J]. Advances in Futures and Options Research . 1989, VOL. 6:137-155
[25] Zhiwu Chen and PeterJ. Knez Measurement of Market Integration and arbitrage The Review of Financial Studies.1995;Vol.8.No.2:PP.287一325
[26] Roberto Serrano & Osear Volijz . Walrasian Allocations Without Price-Taking Behavior Journal of Eeonomic Theory. 2000 ; Vol 95:PP.79一106
[27]Sharpe.W.F. A Simplified Model for Portfolio Analysis [J].Management Science 9, January, 1963.
[28]Renata Mansini,Wodzimierz Ogryczak and M.Grazia Speranza.LPSolvable Models for Portfolio Optimization: A Classification and Computational Comparison[R].WorkingPaper,December,2001(Revision of July,2003).
[29]Markowitz. Harry. M. Portfolio selection[J].Journal of Finance (1952).
[30]Carola Lawton-Browne. An alternative calculation of tracking error [J].Journal of Asset Management Vol.2, 2001.
[31]Mossin.Optimal Multi-Period Portfolio Policies[J].Journal of88 Business, April1968.
[32]Frino.A, D.R.Gallagher.Tracking S&P 500 Index Funds [J].The Journal off Portfolio Management, Vol.28, NO.1, 2001.
[33]Osborne, M.E.M.Brownian Motions in the Stock Market [J].Operations Research 7, March-April 1959.
[34]Alexander, S.A.Price Movements in Speculative Markets: Trends or Random Walks[J].Industrial Management Review, 2, May, 1961.
[35]Frino.A.Index Design and Implications for Index Tracking: Evidence from S&P 500 Index Funds [J].The Journal of Portfolio Management, Winter Issue2004.
[36]Lintner.Security Prices, Risk and Maximum Gains from Diversification [J].Journal of Finance December, 1965.
[37]Markus Rudolf, Hans-Jurgen wolter, Heinz Zimmermann. A linear model for tracking error minimization [J].Journal of Banking&Finance 23, 1999.
[38]Mark Potter. What You See is not What You Get: Mutual Fund Tracking Error and Fund Diversification Properties[R].WorkingPape.r
[39]Frino.A, D.R.Gallagher.Is Index Performance Achievable? An Analysis of Australian Equity Index Funds [J].Abacus, Vol.38, No.2, 2002.
[40]Sharpe. William F.A Simplified Model for Portfolio Analysis[J].Management Science, January 1963.
[41]Richard Roll.A Mean/Variance Analysis of Tracking Error [J].The Journal off Portfolio Management, 1992.90
[42]Mark B.Wise, Vineer Bhansali.Diversification and GeneralizedTracking Errors for Correlated Non-Normal Returns[R].Working Paper
[43]Eugene F.Fama.Components of investment performance [J].Journal of Finance (1972).