Corn and Soybean Meal Futures Statistical Arbitrage Research --Based on Threshold Cointegration Theory
The research of statistical arbitrage is mainly based on the cointegration model.However,the futures price series not always linear cointegrated, for this kind of nonlinear cointegration sequence, we can use the threshold cointegration theory to construct statistical arbitrage strategy.In this paper, we based on the research of Bakle,Fomby and Hasen, using the Bootstrap method to simulate asymptotic distribution of sup-Wald test,and verified cointegration relationship between corn and soybean meal futures.Then used Hasen proposed maximum likelihood estimation method and obtain the estimation parameter and the cointegrating vector.According to the estimation results, the threshold range is (83.17, 147.29), the low regime, middle regime and high regime were 64.07%, 15.07% and 20.86%.According to the threshold co-integration arbitrage theory, the low regime and high regime have arbitrage opportunities,and total accounted for 84.93%.This means that there is a lot of arbitrage opportunities between soybean meal futures and corn futures.
corn futures soybean meal futures statistical arbitrage threshold cointegration bootsrap
Liu Ende
School of Economics, Shanghai University, Shanghai, China, 200444
国际会议
大连
英文
87-92
2016-07-03（万方平台首次上网日期，不代表论文的发表时间）