【摘要】：中國是全球主要的油脂油料生產(chǎn)國、貿(mào)易國和消費(fèi)國之一,但是國內(nèi)油脂行業(yè)的對外依賴度過高,食用油中50%來自于進(jìn)口。其中,80%的豆油間接來源于進(jìn)口,棕櫚油完全依賴進(jìn)口。缺乏油脂的國際定價(jià)權(quán)和話語權(quán)使得國內(nèi)油脂企業(yè)普遍呈現(xiàn)低利潤、高風(fēng)險(xiǎn)的特征。2007年之后的金融危機(jī)、歐債危機(jī)更是引起了國內(nèi)主要油脂油料產(chǎn)品價(jià)格的大幅波動,對油脂企業(yè)造成了重大的經(jīng)濟(jì)影響。 經(jīng)過幾年時(shí)間的運(yùn)行,油脂期貨已經(jīng)趨于成熟,因此,本文選擇豆油和棕櫚油期貨為研究對象進(jìn)行跨品種套利模型設(shè)計(jì),以期為油脂企業(yè)及其他投資者進(jìn)行套利交易提供一定參考。文章首先探討了豆油棕櫚油期貨之間的替代關(guān)系和套利可行性,為后續(xù)套利模型設(shè)計(jì)做理論鋪墊。然后,分別運(yùn)用統(tǒng)計(jì)套利和趨勢套利兩種不同的套利方式進(jìn)行套利模型設(shè)計(jì),通過文華財(cái)經(jīng)軟件編制不同的程序化套利交易模型,進(jìn)行實(shí)證分析。目的在于比較兩種套利模型的套利策略、收益率、適用條件等不同之處,尋找最適合的套利交易模型。研究發(fā)現(xiàn),二者各有所長,投資者在進(jìn)行套利交易時(shí)可以結(jié)合使用：在商品價(jià)格平穩(wěn)時(shí),以統(tǒng)計(jì)套利為主,操作過程中以趨勢套利為參考；在商品價(jià)格波動劇烈時(shí),主要采用趨勢套利,在套利操作過程中,以統(tǒng)計(jì)套利為參考。如此,方能提高套利成功的可能性,獲得最大收益。
[Abstract]:China is one of the world's major oil producers, traders and consumers, but the domestic oil industry is highly dependent on foreign countries, with 50% of cooking oil coming from imports. Among them, 80% soybean oil indirectly comes from the import, palm oil completely depends on the import. The lack of international pricing power and the right to speak of oils and fats makes domestic oil and fat enterprises generally present the characteristics of low profit and high risk. After the financial crisis of 2007, the European debt crisis has even caused large fluctuations in the prices of the main oil and oil products in China. It has a great economic impact on oil and fat enterprises. After several years of operation, oil futures have become mature. Therefore, this paper chooses soybean oil and palm oil futures as the research object to carry out cross-variety arbitrage model design. With a view to oil and fat enterprises and other investors carry out arbitrage transactions to provide a certain reference. This paper first discusses the substitution relationship and arbitrage feasibility of soybean oil palm oil futures, and makes a theoretical foundation for the subsequent arbitrage model design. Then, two different arbitrage models are designed by statistical arbitrage and trend arbitrage, and different programmed arbitrage trading models are compiled by Wenhua financial software to carry out empirical analysis. The aim of this paper is to find the most suitable arbitrage trading model by comparing the different arbitrage strategies, returns and applicable conditions between the two arbitrage models. The study found that the two have their own strong points, investors can be used in carrying out arbitrage trading: when commodity prices are stable, statistical arbitrage is the main factor, and trend arbitrage is the reference in the process of operation; When commodity prices fluctuate violently, trend arbitrage is mainly used, and statistical arbitrage is the reference in arbitrage operation. In this way, we can increase the probability of arbitrage success and maximize the benefits.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F724.5

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