Proceedings of the 2018 6th International Conference on Machinery, Materials and Computing Technology (ICMMCT 2018)

The Profitability of Crush Spread: Statistical Arbitrage Method

Authors
Quan Gu, Xinghui Lei
Corresponding Author
Quan Gu
Available Online June 2018.
DOI
10.2991/icmmct-18.2018.50How to use a DOI?
Keywords
Spread trading, Cursh spread, GARCH model
Abstract

This paper examines the crush arbitrage of soybean and rapeseed futures, which is based on inter-commodity arbitrage in the oil processing process. The paper takes soybean, soybean meal and soybean oil futures listed on the Dalian Commodity Exchange, rapeseed, rapeseed meal and rapeseed oil futures listed on the Zhengzhou Commodity Exchange as research objects. Based on the statistical arbitrage model, empirical studies on two kinds of crush arbitrage are conducted. The improvement of this paper is to examine the characteristics of price volatility from the perspective of time-varying fluctuations, and then improve the setting of trading thresholds. The empirical results show that the use of GARCH model to solve the time-varying variance and set the feasibility of the threshold improvement, especially, rapeseed crushing arbitrage strategy portfolio returns better.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2018 6th International Conference on Machinery, Materials and Computing Technology (ICMMCT 2018)
Series
Advances in Engineering Research
Publication Date
June 2018
ISBN
978-94-6252-531-3
ISSN
2352-5401
DOI
10.2991/icmmct-18.2018.50How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Quan Gu
AU  - Xinghui Lei
PY  - 2018/06
DA  - 2018/06
TI  - The Profitability of Crush Spread: Statistical Arbitrage Method
BT  - Proceedings of the 2018 6th International Conference on Machinery, Materials and Computing Technology (ICMMCT 2018)
PB  - Atlantis Press
SP  - 249
EP  - 252
SN  - 2352-5401
UR  - https://doi.org/10.2991/icmmct-18.2018.50
DO  - 10.2991/icmmct-18.2018.50
ID  - Gu2018/06
ER  -