Fundamental stock selection introduces multi-factor model, style rotation model and industry rotation model. Market behavior stock selection introduces capital flow model, momentum reversal model, consensus expectation model, trend tracking model and chip stock selection model. Similar to the arbitrage of stock index futures, there are also arbitrage strategies of commodity futures. When buying or selling a futures contract, it sells or buys another related contract, and at some point, both contracts are closed. It is similar to hedging in transaction form, but hedging is to buy (or sell) physical objects in the spot market and sell (or buy) futures contracts in the futures market; Arbitrage only buys and sells contracts in the futures market, and does not involve spot trading.
Commodity futures arbitrage is different from risk-free arbitrage in four aspects: cash arbitrage, intertemporal arbitrage, cross-market arbitrage and cross-variety arbitrage. Statistical arbitrage is a kind of risk arbitrage by using the historical statistical law of securities prices, and its risk lies in whether this historical statistical law will continue to exist in the future.
The main idea of statistical arbitrage is to find out several pairs of investment varieties (stocks or futures, etc.). ) has the best correlation, and then find out the long-term equilibrium relationship (cointegration relationship) of each pair of investment varieties. When the price difference (residual of cointegration equation) of a pair of varieties deviates to a certain extent, they start to open positions-buying relatively undervalued varieties, shorting relatively overvalued varieties, and taking profits when the price difference returns to equilibrium.
The main contents of statistical arbitrage include stock matching transactions, stock index hedging, securities lending hedging and foreign exchange hedging transactions. Option, also known as option, is a derivative financial instrument based on futures. The essence of option is to price the rights and obligations in the financial field separately, so that the transferee of the right can exercise his right to trade or not to trade within a specified time, and the obligor must perform it. When trading options, the buyer is called the buyer and the seller is called the seller. The buyer is the transferee of the right, and the seller is the obligor who must fulfill the buyer's right.
The advantages of options are unlimited income and limited risk loss. Therefore, in many cases, using options instead of futures for short-selling and arbitrage trading will have less risk and higher returns than simply using futures arbitrage.