上海期货铜套利机会分析及其数学模型

doi:10.3969/j.issn.1007-7162.2013.03.015

Journal of Guangdong University of Technology ›› 2013, Vol. 30 ›› Issue (3): 80-84.doi: 10.3969/j.issn.1007-7162.2013.03.015

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Arbitrage Opportunities for SHFE Copper Futures and the Mathematical Modeling

Zhou Xuan^1,2, Ma Yi-ke³, Qian Yan-ying¹

1. School of Applied Mathematics, Guangdong University of Technology, Guangzhou 510520, China;
2. Dept. of Financial Engineering, Stevens Institute of Technology, Hoboken 07030,USA;
3. Cisco School of Informatics, Guangdong University of Foreign Studies, Guangzhou 510006, China

Received:2012-06-11 Online:2013-09-30 Published:2013-09-30

Abstract

Abstract: Based on the predictive mathematical modeling method, it analyzed the relationship between the LME copper price and the SHFE copper price. Then, it proposed the arbitrage strategy which can help the investor to make a profit. The cointegration test shows that the spot price of copper in the Yangtze River nonferrous metals market, the futures price of copper in LME and COMEX all have cointegration relationship with the futures price of copper in SHFE. Moreover, the copper prices in these four trading markets in the last few trading days were used as variables to establish the final error correction model to predict the current price of SHFE copper. Lastly, it verifies the practicality of the final error correction model.

Key words: copper futures; cointegration test; error correction model; arbitrage

Zhou Xuan, Ma Yi-ke, Qian Yan-ying. Arbitrage Opportunities for SHFE Copper Futures and the Mathematical Modeling[J].Journal of Guangdong University of Technology, 2013, 30(3): 80-84.