1. Cross-species arbitrage usually looks for arbitrage opportunities through price comparison or price difference. Although this method is feasible, as an extension arbitrage, the spread or ratio of cross-species arbitrage usually changes along the trend. Once the high point of historical ratio (or spread) is the low point of ratio, it will cause huge losses of arbitrage. It mainly refers to the trading method of selling or buying another related commodity (contract) while buying or selling one commodity (contract), and closing the position when the price difference between them narrows or expands to a certain extent. As far as arbitrage mechanism is concerned, commodity futures arbitrage can be divided into internal arbitrage and related arbitrage.
2. The relationship between cotton and polyester staple fiber
(1) Cotton is a strategic material related to the national economy and people's livelihood, and it is also the second largest crop after grain. Cotton is a commodity involving agriculture and textile industry. It is the main raw material of textile industry and the daily necessities of the broad masses of people. Cotton yarn, cotton cloth and clothing are also important commodities to earn foreign exchange through export. Polyester fiber, the scientific name of polyethylene terephthalate fiber, is spun into very fine fiber, which is called polyester fiber for short. Its industrial production began at 1953. Because of its good performance and wide application, it has developed rapidly and is the largest chemical fiber in the world. Polyester staple fiber is mainly used for blending with chemical fibers such as cotton, wool, viscose and hemp to make various clothing textiles.
(2) Cotton and polyester staple fiber are two main cotton spinning raw materials in China, and there is a mutual substitution relationship between them. Under normal circumstances, textile enterprises produce products according to orders, and the proportion of cotton distribution is stipulated in orders, so textile enterprises have little choice. However, it is not excluded that some enterprises can appropriately adjust the polyester-cotton ratio in spinning raw materials according to their own conditions when there is a specific price difference. Through the statistics and correlation analysis of spot prices of 20 10 cotton and polyester staple fiber, the R square between them is 0.724, which becomes the basic condition for the substitution of two cotton spinning raw materials.
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