铜铝期货跨商品套利分析与研究

为了探究铜铝期货之间是否存在跨商品套利的可行性以及如何选择合适的交易时机，利用何种方法进行铜铝期货间跨商品套利可以尽可能的避免亏损，获得稳定的赢利。本文提出了一种跨商品套利的方法。即利用铜铝期货价格之比a与其均值a0的比较确定铜铝的相对价格高低，在牛市行情中，以相对价格较低的商品期货走势为依据，买进相对价格较低的商品，卖出相对价格较高的商品，而在熊市行情中，以相对价格较高的商品期货走势为依据，卖出相对价格较高的商品，买进相对价格较低的商品，由此获得差价的利润。同时还提出以MACD指标确定买卖铜铝期货的时机。MACD>O时买进，MACD<O时卖出。本文以上海期货交易所中的铜和铝两种商品为研究对象，选取2008年-2011年三年铜铝期货的收盘价进行实证分析，通过ADF检验和协整检验发现两者之间长期稳定的均衡关系。由此发现铜铝之间跨商品套利存在可行性。然后利用跨商品套利具体操作方法对3年的数据进行具体的模拟实证，并对2011年1月-2011年12月铜铝期货的市场行情进行了具体的盈利情况的分析。用投资回报率的计算方法得到63.6%的年收益率，结果表明利用该种方法可获得比较稳定的赢利。

关键词： 跨商品套利；铜铝期货；时间差；MACD
 Study on Cross Commodity Arbitraging between Copper and Aluminum
Abstract: The paper aims to study whether there exists the possibility for arbitrage between the copper and aluminum, how to choose the appropriate time of trades and study what approach would be used to do to prevent the loss as much as possible and obtain the stable profit in the arbitrage. A strategy is described in the study to make use of the relevant model in econometrics and financial engineering. That is to make a comparison of futures price between the copper and aluminum and determine copper and aluminum. In the bull market, according to trend of commodity of relatively low price, buy the commodity of relatively low price, and sell the commodity of higher price. In the bear market, according to trend of commodity of relatively high price, sell the commodity of relatively high price, and buy the commodity of lower price. Meanwhile, make use of the time difference and the MACD indicator to choose the right time to conduct the trade. When MACD is from positive to negative, is a sell signal. The study of cross-commodity arbitrage based on the two commodities as the copper and aluminum in the Shanghai Futures Exchange is conducted in this paper. The data is the closing price of the copper and aluminum from 2008 to 2011. By the analysis of the Eviews, Integrated of order one is found in the copper aluminum futures prices on the basis of integration test. The cointegration test shows the long-term stable equilibrium relationship between the two commodities. The relationship presents the existing feasibility of the cross-commodity arbitrage between the two commodities. It shows that there exists the possibility for arbitrage between the copper and aluminum. It is because the applications of the metallic copper and the aluminum have some similar relationships, and they can replace each other. So the copper and the aluminum shares used to rise and fall in lockstep.  The empirical study is conducted in the arbitrage between the copper and aluminum using 3 years of data. In the paper, the futures price from January 2011 to December 2011 are analyzed to measured the profitability of the strategy. It yields around 63.6% a year. The result shows that the use of the method is available and the profit is stable and considerable.

Keywords: Cross-commodity Arbitrage; Copper and Aluminum; Time Difference；MACD

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