Futures Spread Arbitrage

Author: Tang Yan
Publisher:
Publish Date: 2006-09-01
Features: Spread arbitrage in the futures market promotes price normalization, increases market liquidity, and reduces market risk, serving as a crucial guarantee for the effective functioning of the futures trading market. Spread arbitrage is one of the primary investment methods and risk management tools in the futures market. It is a comprehensive, holistic, and continuous investment decision-making process that not only involves understanding and grasping the intrinsic mechanisms and microstructure of the market, identifying spread arbitrage opportunities, and optimizing investment portfolios and decisions but also includes forecasting and risk management. A complete spread arbitrage trading process must encompass all these elements to form the final spread arbitrage execution strategy, which is continuously adjusted and refined based on new developments during implementation.
This book focuses on futures spread arbitrage, combining theory with application and incorporating the latest research findings from domestic and international financial and futures studies. It systematically explores the fundamental theories and methods related to spread arbitrage investment decisions, covering topics such as the current state of futures market development, futures trading, analysis of futures market characteristics, futures pricing principles, spread arbitrage pricing principles, optimal futures spread arbitrage position ratios, spread arbitrage forecasting, spread arbitrage risk management, and spread arbitrage trading strategies, along with empirical research results.