Arbitrage Opportunities for SHFE Copper Futures and the Mathematical Modeling

Zhou Xuan; Ma Yi-ke; Qian Yan-ying

doi:10.3969/j.issn.1007-7162.2013.03.015

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Arbitrage Opportunities for SHFE Copper Futures and the Mathematical Modeling

更新时间：2026-05-27

- Arbitrage Opportunities for SHFE Copper Futures and the Mathematical Modeling
- Vol. 30, Issue 3, Pages: 80-84(2013)
- 作者机构：
- 作者简介：
- 基金信息：
- DOI：10.3969/j.issn.1007-7162.2013.03.015
  CLC：
- Online First：30 September 2013，
  
  Published：2013
- 稿件说明：
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周轩, 马艺珂, 钱艳英. 上海期货铜套利机会分析及其数学模型[J]. 广东工业大学学报, 2013, 30(3): 80-84.

Zhou Xuan, Ma Yi-ke, Qian Yan-ying. Arbitrage Opportunities for SHFE Copper Futures and the Mathematical Modeling[J]. 2013, 30(3): 80-84.
周轩, 马艺珂, 钱艳英. 上海期货铜套利机会分析及其数学模型[J]. 广东工业大学学报, 2013, 30(3): 80-84. DOI： 10.3969/j.issn.1007-7162.2013.03.015.

Zhou Xuan, Ma Yi-ke, Qian Yan-ying. Arbitrage Opportunities for SHFE Copper Futures and the Mathematical Modeling[J]. 2013, 30(3): 80-84. DOI： 10.3969/j.issn.1007-7162.2013.03.015.

摘要

立足于预测性的建模方法，首先对上海期货交易所与伦敦金属交易所的期货铜价格的相关性进行分析，并提出能使投资者实现套利的多空操作方法.其次，证明了在统计区间内上海期货交易所的期货铜价格分别与伦敦金属交易所、纽约商品交易所的期货铜价格和长江有色金属市场的现货铜价格之间存在协整关系，并将这4个交易市场各自的铜价作为变量，建立最终的误差修正模型，用以预测上海期货交易所期货铜价格的走势.最后，验证了最终的误差修正模型具备实际操作意义，对投资者具有指导价值.

Abstract

Based on the predictive mathematical modeling method

it analyzed the relationship between the LME copper price and the SHFE copper price. Then

it proposed the arbitrage strategy which can help the investor to make a profit. The cointegration test shows that the spot price of copper in the Yangtze River nonferrous metals market

the futures price of copper in LME and COMEX all have cointegration relationship with the futures price of copper in SHFE. Moreover

the copper prices in these four trading markets in the last few trading days were used as variables to establish the final error correction model to predict the current price of SHFE copper. Lastly

it verifies the practicality of the final error correction model.

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