|本期目录/Table of Contents|

[1]景 楠.商品期货市场跨市套利研究[J].西安石油大学学报(社会科学版),2011,05:62-69.
 JING Nan.A Study on the Cross-Market Arbitrage in Commodity Futures Market[J].,2011,05:62-69.
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商品期货市场跨市套利研究(/HTML)

《西安石油大学学报(社会科学版)》[ISSN:1008-5645/CN:61-1350/C]

期数:
2011年05期
页码:
62-69
栏目:
经济学
出版日期:
2011-10-15

文章信息/Info

Title:
A Study on the Cross-Market Arbitrage in Commodity Futures Market
作者:
景  楠
西安外国语大学 商学院,陕西 西安 710128
Author(s):
JING Nan
Commercial College, Xi’an International Studies University, Xi’an, Shaanxi, 710128, China
关键词:
套利交易 跨市套利 风险控制 升、贴水 无套利原理
Keywords:
arbitrage trading cross-market arbitrage risk control rising premium no arbitrage principle
分类号:
-
DOI:
-
文献标识码:
A
摘要:
跨市套利是一个具有低风险、稳定而可能取得较高收益的市场套利行为。为此以最为典型的金属铜期货为例,进行跨市套利运作方式的理论和实证分析,建立具有普遍和实践意义的商品跨市套利操作模式,给出套利市场上的切入点和平仓点,以期对投资者在判定跨市套利行为是否可行及风险控制上,能获得较为科学的理论指导和具有实际意义的参考。
Abstract:
Cross-market arbitrage is the market arbitrage behavior with lower risk, stability and possibly obtainable profits. With the typical futures of metal bronze as an example, the theoretical and empirical analyses are carried out about the operational way of arbitrage. And then the operational model of commodity arbitrage with universal and practical significance has been established, and thus offering the breakthrough point and the open point on arbitrage market. Therefore, it is hopeful for investors to get scientific instruction and practical references in judging the possibility of cross-market arbitrage and its risk control.

参考文献/References

[1]胡凯西.中国金属期货市场盈利模式分析[EB/OL].[2005-04-13].http://futures.hexun.com/.
[2]华仁海,陈百助.上海期铜与国际期铜市场相关性分析[J].北京大学经济学学报,2004,3(3).
[3]Song Fengming.Financial Engineering Principles [M].Beijing:Tsinghua University Press,1999.
[4]Wang Wuyi.Futures and Options[M].Hefei:China University of Science and Technology Press,2005.
[5]Marshall,Bansal J F.Financial engineering[M].Beijing:Tsinghua University Press,2005.
[6]Maclaughlin.Over-Counter Derivatives Products[M].New York:McGraw-Hill,1999.
[7]Johnson P M.Derivatives:A Manager’s Guide to the World’s Most Powerful Financial Instruments[M].New York:Mcgraw-Hill,1999.

备注/Memo

备注/Memo:
更新日期/Last Update: 2012-01-11