国际金价历史高位下的黄金期货套利策略分析 - 上海期交所与金交所Au(T+D)合约研究
国际金价历史高位下的黄金期货套利策略分析 - 上海期交所与金交所Au(T+D)合约研究
摘要：
2011年,受国际局势动荡影响,国际市场对黄金的避险需求激增,加之国际热钱的炒作,国际金价从1420。78美元/盎司起步,接连突破数个整数关口,站上1900美元/盎司的历史高位跨期套利模型,并进入了宽幅震荡时期。受到国际金价波动的影响,国内各类黄金资产价格也出现了剧烈变化,加上黄金本身的货币属性与抵抗通胀的作用国际金价历史高位下的黄金期货套利策略分析 - 上海期交所与金交所Au(T+D)合约研究,黄金投资已成为国内投资的热门话题。 本文旨在分析国际金价波动背景下,上海期货交易所各黄金期货合约与上海黄金交易所Au(T+D)合约间的套利策略问题。以国际金价历史高位为时间节点,本文划分出了国际金价的"上涨期"和"盘整期"。采用不同的GARCH模型对纽约商品交易所美元报价黄金现货收益率,国内各期货合约收益率进行拟合,利用Copula函数对各收益波动率的尾部相关性进行了研究。研究发现在这两个时期,国际金价的巨幅波动对不同合约价格的巨幅波动影响不同跨期套利模型,从而导致各合约间价差出现变化,使套利空间出现。人民币兑美元汇率的变化对这一结果影响不大。通过对黄金期货市场期现套利和跨市套利的可行性研究比较发现,Au(T+D)是比较理想的实现期现套利的现货合约,黄金期现套利机会较期货市场初期已明显减少,但投资者仍能够通过对价差倒挂的捕捉实现期现套利;鉴于国家对出入境资金管理的规定与境外市场的复杂性,本文认为普通投资者不适合进行黄金期货境内外跨市套利。
本文将外汇市场常用的网格交易法加以改进,提出了动态网格交易法,并对该策略的参数和在黄金期货跨期套利中的可行性进行了研究,认为动态网格交易法是一种进行中长线套利的操作策略。在历史数据回测中,本文发现国内黄金期货市场存在较多的跨期套利机会。The safe-haven demand for gold has been rising due to the political instability and the escalation effect in recent years。 In 2011, the international gold price has broken several resistances to 1900 U。S。 dollars per ounce from 1420。78 dollars per ounce, and entered a period of violent fluctuations。 Such violent fluctuations have resulted in the dramatic changes in the prices of the domestic gold assets。
In addition, being a monetary property and resistance to inflations, gold has attracted a large number of investors in China nowadays。 This thesis focuses on analyzing the arbitrage trading strategies that can be used in trading the gold futures contracts at Shanghai Futures Exchange and Shanghai Gold Exchange in such context of violent price fluctuations。 The sample data are divided into two periods, namely,up trending period and range bound period国际金价历史高位下的黄金期货套利策略分析 - 上海期交所与金交所Au(T+D)合约研究, by the date on which the international gold price hit its record high。
The yields of spot gold quoted in USD and the future contracts from domestic futures exchanges are fitted using their corresponding GARCH models, and the coefficients of tail dependence of each pairs are estimated using Copula functions。 It is found that the violent fluctuations of international gold price have different impacts on the fluctuations of domestic gold price in the two periods, which results in the changing spreads and subsequently the arbitrage opportunities。 In addition, the change of exchange rate between RMB and USD is found to have little effect on the results。
The study on the feasibility of futures-cash arbitrage and cross-market arbitrage in gold futures market indicates that: firstly, Au(T+D)is an ideal spot contract in futures-cash arbitrage; secondly, the investors are still able to capture the opportunities of spread hanging upside down to achieve the arbitrage although the arbitrage opportunities have been much less than the early gold futures market; thirdly, the ordinary investors are not suggested to carry out cross-market arbitrages between domestic and overseas markets due to the strict state regulations on the immigration fund management and the complexity of overseas markets。
In addition, a dynamic grid trading method has been proposed by improving the traditional grid trading method, which is widely used in foreign-exchange transactions。 The parameters used in the proposed method and the feasibility of applying this method to trading in gold future market have been researched。 The results indicate that there are a large number of arbitrage opportunities in cross-time arbitrage, and the proposed method is suitable for medium or long term transactions。 For the high frequency trading, the cointegration strategy is recommended。 It is found that the traders are expected to get an annual return over 800% through employing such cointegration strategy。
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