What are the arbitrage methods of futures

In the financial investment market, everyone may often hear related terms about "arbitrage". I believe that everyone is also interested in the trading behavior of empty glove white wolves. In particular, the CTA strategy in private equity funds often uses the "arbitrage" strategy. Today I will interpret the "arbitrage" strategy in the CTA strategy.
So what exactly is futures arbitrage strategy? How does private equity funds arbitrage?
In the trading market, arbitrage is ubiquitous. When there are two different prices in a product, investors can buy the product in the low -priced market, and sell it in high -priced markets, and earn the difference between the buying and selling to obtain the benefits. Unlike other transactions, the potential profit earned by arbitrage is not based on the rise or decline of the price of the goods purchased, but the expansion or reduction of the price difference between the two markets or contracts.
The is divided according to the mechanism, divided into associated arbitrage and internal arbitrage. Among the associated arbitrage, there is no inevitable internal cause constraint between each object, but the price is dominated by the common factors, but the degree of affected the same degree is different. Therefore relation. In the inner arbitrage, when the price relationship between the object is excessive for some reason, the arbitrage can be generated through the internal correction force.
If in a specific way, arbitrage can be divided into cross -product arbitrage, cross -term arbitrage and cross -market arbitrage.
The following is a detailed interpretation:
cross -variety arbitrage
The first is cross -breed arbitrage, which means that investors sell or buy or buy a certain product (contract) while selling or buying or buying. Another kind of commodity (contract) is equivalent to doing a reverse operation. When the price difference between the two is reduced or expanded to a certain degree, the transaction method of the liquidation is selected. That is, the use of high -correlation products to establish a long and short combination to capture the difference in viability caused by the changes in the strength and weakness between varieties in a timely manner.
In terms of varieties, cross -breed arbitrage choices may be products in the same industry chain, such as corn and starch, or products that can be replaced or complementary, such as soybean oil and vegetable oil. Generally speaking, the relationship between these varieties is relatively easy to find the corresponding logic as a support in both fundamentals and statistical laws. Help investors achieve price difference. At present, cross -breed arbitrage is mainly based on fundamental arbitrage and industrial upstream and downstream arbitrage. There are many CTA strategy private equity funds products that do not accept purchase fees on the private equity row. Click to view
-out -of -date arbitrage
The cross -date arbitrage, which refers to the establishment of equivalent and opposite directions of investors in different contract months of the same futures varieties, and end in a hedge or delivery manner to end the way of hedging or delivery. Transactions, so as to earn the operation method of the difference between the two. Cross -term transactions are more common in arbitrage strategies. In actual operation, it can be divided into bull market arbitrage, bear market arbitrage and butterfly arbitrage.
The simplest cross -period transaction is to buy the latest futures varieties and sell long -term futures varieties. This kind of transaction is based on the difference between the two contracts that deviate from the reasonable difference. Investors can buy one contract at the same time and sell another contract. After the price difference returns Realize benefits under the reasonable return of the price.
Is need multiple factors when cross -term transactions: first, the recent monthly contract fluctuations are more active than long -term contracts; second, the short -term movement of the month makes The movement of the warehouse will make the difference in the next month; third, the decisive factor of the voiced price difference is inventory; fourth, the reasonable price difference is an important factor in the return of the price difference.
If off -date arbitrage exists, investors need to study holding costs. In the current arbitrage, the relationship between holding costs and the basis of the basis is compared; in the cross -term arbitrage, the relationship between the contract price difference and holding cost is studied. When the price difference between the same commodity varieties exceeds its holding costs in different months, there is a chance of arbitrage for investors.
It to do a good job of cross -term arbitrage, first of all, you need to observe and understand the current market structure, because different market structures can provide you with different security margins and trading opportunities. Behind different market structures, in fact, some deep situations in the spot market reflect the spot market.
The cross -market arbitrage
The last is cross -market arbitrage. There are many futures varieties on the market. They all have different exchanges at home and abroad. For example, gold and silver varieties have traded in the London market, New York market, and the Chinese market. These varieties are essentially the same commodity, but due to the different market environment and region, there are also differences in transaction prices. Because it is the same variety, the price bias on the market is in a relatively reasonable range, so when the price difference is deviated to a certain degree, the market will start the "error correction" process and "correct" in the market economy law. Below, the comparison or difference between the commodity will gradually return to the reasonable range. Therefore, in this process, it provides opportunities for global cross -market arbitrage transactions.
The cross -market arbitrage generally requires three premises. The first is that the quality of the futures of futures delivery is the same or very similar; the second is that the price trend of the futures variety in the two futures market has a relatively strong correlation. The third is that the import and export policy is relatively loose, and the goods that transactions can be freely circulated between the two countries.
D nodes
The transaction is a science, arbitrage is ubiquitous in the market. The "arbitrage operation" in the capital market is like a variety of purchasing agents in the circle of friends. It can obtain profits when the difference is large enough. It is also similar to purchasing. One of the biggest risks in arbitrage is the uncertainty brought by time. Essence