Based on mathematical models, this thesis uses the data of commodity futures to estimate the impact cost of arbitrage contract. Third, estimate the co-integration coefficient and back testing of strategies. 本文利用商品期货的分笔数据,通过相应的数学模型估算出了套利合约的冲击成本。第三:协整系数的估计以及策略回测。
Arbitrage as a micro-economic behavior in human society has existed for hundreds of years, from classical to modern financial commodity arbitrage arbitrage, arbitrage acts as the social and economic development and the evolution of arbitrage capital has become a major capital market components. 套利作为一种微观经济行为在人类社会中已经存在了数百年,从古典商品套利到现代金融套利,套利行为随着社会经济的发展而演变,套利资本逐渐成为资本市场的重要组成部分。