Method for arbitraging by using inherent price discrepancy of relevant finical products

A financial product and price technology, applied in finance, data processing applications, instruments, etc., can solve the problem of inconsistent price scales between futures and spot prices

Inactive Publication Date: 2011-03-16
武汉元宝创意科技有限公司
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Problems solved by technology

[0004] The purpose of the present invention is to overcome the shortcomings of the above-mentioned background technology and provide a method for arbitrage using the inherent price difference of related f

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  • Method for arbitraging by using inherent price discrepancy of relevant finical products
  • Method for arbitraging by using inherent price discrepancy of relevant finical products
  • Method for arbitraging by using inherent price discrepancy of relevant finical products

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Embodiment Construction

[0024] A method for arbitrage using the inherent price difference of related financial products according to the present invention will be further described below in conjunction with the accompanying drawings and specific embodiments.

[0025] Such as figure 1 As shown, a method for arbitrage using the inherent price difference of related financial products described in this embodiment, taking stock index futures and ETF as an example, includes the following steps.

[0026] Such as figure 2As shown, first establish the required financial product classification database. First determine the sample of financial products. In this embodiment, select the sample stock index futures, commodity futures, ETF, LOF and all constituent stocks of the Shanghai and Shenzhen 300 as examples, and import the data of the historical transaction information of the aforementioned securities into the financial product transaction information general database , to extract the daily closing price ...

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Abstract

The invention relates to technical field of financial product investment arbitrage technology and provides a method for arbitraging by using inherent price discrepancy of relevant finical products. The method comprises the following steps of: processing historical data of the relevant financial products; converting the absolute prices of various financial products with high relevance into comparable regular prices, so that two relevant financial products are comparable; and based on the comparability of the relevant financial products, identifying the price discrepancies and performing arbitrage. The method in the invention solves the problem that the price measures of futures and spot goods are inconsistent in the deadline arbitrage and can gather all priced-related financial products or investment portfolio into one group for arbitrage, so that the investment opportunity and the investment range of arbitrage investors are widened greatly and the arbitrage process becomes more accurate. Moreover, the method also can provide a time-trend chart, a price-discrepancy chart, a unique arbitrage Kreinik chart and the like corresponding to the arbitrage, so that the real-time arbitrage processes of the investors are more clear and effective.

Description

technical field [0001] The invention relates to the technical field of financial product investment arbitrage, in particular to a method for arbitrage by utilizing the internal price difference of related financial products. Background technique [0002] The arbitrage trade mentioned in the traditional sense generally refers to the futures arbitrage transaction, and its process includes that the arbitrageur seizes the exchange rate between two contracts with extremely related prices or with other products at a certain moment or time period. Relative price deviation, sell high-priced contracts through the short-selling mechanism of the futures market, buy low-priced contracts, and then perform the opposite trading operation (that is, buy the initially sold) when the price deviation disappears to obtain profits. In order to achieve the above strategy, one of the most critical conditions is to make the prices of the two financial products comparable, which is naturally no diffi...

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Application Information

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IPC IPC(8): G06Q40/00G06Q40/04
Inventor 蔡恒进吴云徐恒
Owner 武汉元宝创意科技有限公司
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