What conditions are there for an arbitrage portfolio to exist?

The arbitrage space must be greater than the necessary expenses.

The premise of arbitrage is that the price difference between different ** contracts of the same or similar products exceeds the normal range, otherwise it is impossible for you to make money through arbitrage.

An arbitrage opportunity occurs when one or more of the following three conditions are met. The same asset is different in different markets (contrary to the "law of one price").

Excessive differences in the pricing of two assets of the same or similar value (e.g., similar crop varieties such as soft and hard wheat; raw materials and finished products, such as soybeans and soybean oil, ** and heating oil).

The current gap between an asset that has a known future and its discount based on the risk-free rate is too large. (For assets with storage costs, such as agricultural products, storage costs also need to be considered).

Arbitrage not only includes the trading of a certain asset in one market and selling it at a higher price in another market. Some financial asset arbitrage requires that trading combinations in opposite directions occur at the same time as much as possible to avoid the risk of unfilled market changes caused by inconsistent transaction times. Financial products that can be traded electronically are more suitable for strategies that are executed at the same time.

Even so, the risk of slippage error remains. The risk caused by the inability of two transactions to be absolutely at the same time with the best ** transaction becomes "transaction risk" or "unilateral risk".

Arbitrage: Defined in finance as the act of buying or selling the same or essentially the same product at the same time in two different markets.

The financial instruments in a portfolio can be of the same type or of different kinds. In market practice, the term arbitrage has a different meaning than the definition. In practice, arbitrage means a risky position, which is a position that may result in losses, but is more likely to result in gains.

Arbitrage is also called spread trading, arbitrage refers to the sale or sale of another contract at the same time as the sale of an electronic trading contract. Arbitrage trading refers to the trading behavior of taking advantage of the change in the price difference between the relevant market or related electronic contracts, and trading in the opposite direction on the relevant market or related electronic contract, in order to make a profit in the expectation of the change in the price difference.

Arbitrage, also known as arbitrage, usually refers to buying at a lower price and selling a higher price when a physical asset or financial asset (in the same market or in a different market) has two **, so as to obtain a risk-free return. Arbitrage is the action to profit from correcting abnormal conditions in the market** or yield. The abnormal situation usually refers to the significant difference between the same product in different markets, and arbitrage is the behavior of buying low and selling high, resulting in the return to the equilibrium level.

Arbitrage typically involves taking a position in one market or financial instrument and then opening a position in another market or financial instrument that offsets the previous position. After the equilibrium level is returned, all positions can be closed to take profit. An arbitrageur is an individual or institution that engages in arbitrage.

Arbitrage refers to the ability to make risk-free profits by detecting pricing errors. For example, if AT** is $54 $23 per share on the Philadelphia Exchange and $54 $24 per share on the New York Stock Exchange, then there is an arbitrage opportunity. You can short sell 1,000,000 shares of AT** on the New York Stock Exchange and get $54.24 million.

Then on the Philadelphia Exchange, 1 million, at a cost of $54.23 million, to close the position. Without the slightest bit of risk, you make $10,000. This example ignores transaction costs, but if the arbitrage opportunity exists, the result is much the same.

b Zero portfolio means that investors don't contribute a penny in the process of investing. In the example above, it's a zero portfolio, because the investor is just short in an overvalued market and in an undervalued market. c The arbitrage pricing theory says that if the market is in equilibrium, then there is no arbitrage opportunity.

Investors will not find an opportunity with a zero portfolio, nor will they be able to make a single risk-free profit.

Xiao Zhang is a new shareholder, in addition to daily trading, in his spare time do not forget to learn, ** related knowledge, in case of unclear related to the relevant business institutions for advice.

On this day, Xiao Zhang saw an article in the newspaper about stock index spot arbitrage, and was very interested, but he did not fully understand the structure of the spot arbitrage spot portfolio mentioned in it, so he dialed the consultation of a well-known company in Shanghai.

I now know that the principle of spot arbitrage is that if the stock index is high, go long in the spot market, short in the market, and then close the position in the spot market and the market after the return of the market, but I don't understand that there is no CSI 300 index available for trading in the spot market, how to achieve the operation in the spot market? "Xiao Zhang asked puzzled.

This can be achieved by constructing a certain portfolio or buying a product. "** The company's staff said.

What kind of ** combination is suitable for spot arbitrage? "Xiao Zhang then asked.

It is best to have a high degree of correlation with the CSI 300 index, and there are two methods, one is to fully fit, that is, to construct the first portfolio according to the CSI 300 index construction plan; Another method is to select a certain sample stock and establish a portfolio with a high degree of correlation. "** The company's staff said.

If you want to buy 300 kinds of ** each time, is it easy to operate? Is it better to choose a portfolio with a small number of sample stocks? "Xiao Zhang asked as he pressed the calculator.

Each has its own advantages and disadvantages, and it is difficult to fully fit the operation, but the correlation is good; However, it is difficult to simplify the operation of sample stock portfolio, but the correlation degree is unstable. "** The company's staff said.

You also mentioned that you can buy ** in the same way, what kind of ** do you mean? "Xiao Zhang asked with concern.

Mainly ETFs**, such as the SSE 50 ETFBecause the trend of the Shanghai 50 index is highly correlated with the CSI 300 index. "** The company's staff said.

Which one is better? "Xiao Zhang asked while looking at the trend of the SSE 50 ETF**.

The quality of the arbitrage results depends on the model structure on the one hand, and the actual market situation on the other hand. For example, if everyone uses the 50 ETF for spot arbitrage, everyone will concentrate on buying the 50 ETF, and the 50 ETF will be **, the cost of spot arbitrage will increase, and the arbitrage effect will be greatly reduced. "** The company's staff said.

Risk Warning: In addition to the model structure of futures arbitrage trading has certain capital management risks and technical operation risks, whether the selected model is in line with the actual market situation is also a key factor in the effectiveness of futures and spot arbitrage, it is recommended that ordinary investors participate in stock index futures arbitrage trading through professional institutions.

What is arbitrage].

If the explanation is a little more nominal, it can be said that:

Arbitrage is the use of different commodities, different markets, different months of contracts between the unreasonable price difference to obtain profits, and hedging, speculative trading is the same three common trading methods.

If the explanation is a little more colloquial: it can be understood asMake the difference.

Arbitrage trading is the use of unreasonable price differences between different commodities, different markets, and different months to arbitrage profits.

Here is a common example that you might understand more easily:

For example,Xiao Ming now owns a house on the outskirts of the city, with a current market price of 800,000 yuan. Xiao Ming believes that housing prices will be the first in the next year, and he also believes that with the shortage of land in the city center, the rate of housing prices in the city center will be greater than the rate of housing prices in the suburbs. Therefore, Xiao Ming carried out the following buying and selling operations, he sold his house in the suburbs, got 800,000 yuan, and at the same time used the 800,000 yuan to ** a house in the city center.

A year later, the house price was really **. Inner-city houses** rose from 800,000 to 1.2 million, and suburban houses** from 800,000** to 1 million. Xiao Ming sold the house in the city center for 1.2 million yuan**, and at the same time bought back the suburban house for 1 million yuan**.

Without considering taxes and fees, Xiao Ming still owns a house on the outskirts of the city compared to the same year ago, but he received an additional cash income of 200,000 yuan.

[Arbitrage risk].

As for what you askedThe risk is not large, and theoretically there is the possibility of some kind of risk-free arbitrageBut in fact, there are very few such opportunities, the more mature and perfect the market, the less opportunities for risk-free arbitrage, here you can also understand that (muddy waters can touch the fish), so the fact now is that if you make money first, there is no 100% risk-free investment method!

And then there's the risk that depends on youIt depends on the amount of money invested! As far as ordinary people are concerned, 500,000 is generally the limit500,000 funds with 300,000 margin arbitrage, especially intertemporal arbitrage to collect unilateral margin, can also bring considerable returns.

Therefore, if you have enough funds on hand to resist risks in life, if you still have spare money, you can try the money-making model of arbitrage. Because it does not need complex mathematical statistics knowledge, does not need to have too deep knowledge of financial theory, only needs to understand some basic statistical knowledge and financial theory knowledge, can carry out arbitrage trading, all seemingly complex arbitrage skills are paper tigers, the more complex, the more deviated from the essence, about arbitrage, traders only need to understand common sense. (Limited to traders with a small amount of capital).

Of course, if you are a big player, the support of a professional analysis team and data is indispensable, which is difficult for ordinary investors to control.

Arbitrage, also known as spread trading, refers to the sale or sale of a contract to sell or another contract related to it. The risk is relatively small, and the returns are relatively stable.

This refers to spread trading, which is very risky and easy to lose.

It's the one that you're good to go to or sell some** that is essentially the same. The risk is still relatively large, and it may bring very large losses.

It is a contract to buy and sell different types of **. The stakes are very high.

Spreads:

Refers to the simultaneous purchase and sale of two different types of ** contracts. The trader buys and thinks it is"Cheap"contracts, and sell those"**"contracts, which profit from the movement between two contracts**. When carrying out arbitrage, traders pay attention to the mutual relationship between contracts, not the absolute level.

Arbitrage can generally be divided into three categories: intertemporal arbitrage, inter-market arbitrage, and inter-commodity arbitrage.

Calendar arbitrage is the most common kind of arbitrage trading, which is to use the same commodity but the normal gap between different delivery months to hedge and make a profit, and can be divided into two forms: bull spread and bear spread. For example, when carrying out metal bull market arbitrage, the exchange ** metal contract of the recent delivery month sells the metal contract of the forward delivery month at the same time, hoping that the **** range of the recent contract **** is greater than the margin of the forward contract**; Bear market arbitrage, on the other hand, is the opposite of selling the near-term delivery month contract and the forward delivery month contract, and expecting the forward contract to be smaller than the recent contract.

Inter-market arbitrage is the practice of arbitrage trading between different exchanges. When the same commodity contract is traded on two or more exchanges, there is a certain spread relationship between the commodity contracts due to the geographical differences between regions. For example, the London Metal Exchange (LME) and the Shanghai ** Exchange (SHFE) both trade copper cathodes**, and there are several times a year when the price difference between the two markets is out of the normal range, which provides traders with opportunities for cross-market arbitrage.

For example, when the LME copper price is lower than SHFE, traders can sell SHFE's copper contract at the same time as the LME copper contract, and then hedge the contract to close the position and make a profit when the relationship between the two markets returns to normal, and vice versa. When doing cross-market arbitrage, we should pay attention to several factors that affect the difference between the markets, such as freight, tariffs, exchange rates, etc.

Intercommodity arbitrage refers to trading using the price difference between two different, but related, commodities. The two commodities are substitutable or subject to the same supply and demand factors. Cross-commodity arbitrage is a form of trading in which you buy and sell different types of commodity** contracts with the same delivery month at the same time.

For example, arbitrage transactions can be carried out between metals, agricultural products, metals and energy, etc.