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Based on high-frequency data of CSI 300 index futures, this paper studies the profits of calendar spread arbitrage in the CSI 300 index futures market. This paper tests the co-integration relationship between two series of prices which are from two contracts with different delivery days. According to the theory of calendar spread arbitrage, we proposed a strategy which is effective in practice. Moreover,...
The paper, based on the data of the total energy consumption and total export trade of Beijing from 1980 to 2009, empirically analyzes the relationship between Beijing energy consumption and export trade by utilizing the co-integration theory and Granger Causality Test and building the error correction model. The analysis result shows that there exists a co-integration relationship between Beijing...
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