摘
要
期货作为金融欧亿·体育（中国）有限公司中不可缺少的一部分，会对金融市场的全面发展产生重要影
响。我国期货市场经过 20年的发展已经具有一定规模,市场制度逐渐完善,交易品种逐
渐多样化。目前我国正处于发展基础设施建设时期，原油下游的产品应用于各行各业，
因此原油在我国的经济发展中发挥日益重要的作用。我国原油期货上市三年，已经发
展成为比较成熟的国际化期货品种之一。近一年来受国际形势影响，原油价格处于不
稳定状态，甚至出现极端行情。在此背景下，研究原油期货跨品种套利策略可以丰富
我国在期货尤其是跨品种领域的理论，同时为投资者提供原油跨品种套利的投资思路
以及投资方案。
原油和石油沥青处于同一产业链中，本文选择原油期货和石油沥青期货进行跨品
种套利的研究。首先对国内外的相关文献进行阅读与整理，归纳期货市场以及跨品种
套利现状。再对我国原油与石油沥青的期现货市场发展情况进行介绍。基于以上研究
情况对跨品种套利策略进行设计。其次利用 Eviews 10对选择的 2018年至 2021年三
年原油期货和石油沥青期货合约收盘价历史价格进行相关性检验。再对原油期货和石
油沥青期货的价格进行单位根检验，发现两者的价格序列同为一阶单整。进而对期货
价格序列进行 Engle-Granger法检验发现原油期货和石油沥青期货之间存在长期均衡
关系。然后构建套利模型，根据原油期货和石油沥青期货的价差序列确定开仓、平仓
与止损阈值的大小，并设置套利规则与套利区间，利用该套利模型发现 16次套利机
会，接着选取样本外数据对本文构建的套利策略的可行性进行检验，同样发现了可以
获利的套利机会。
最后基于实证结果，本文针对套利策略的不足以及跨品种套利中所具有的风险，
从期货相关机构、政府监管机构和投资者自身三个层面提出对策建议。为投资者进行
跨品种套利提供理论与实践指导，促进跨品种套利相关理论的发展。
关键词：原油期货；石油沥青期货；跨品种套利；协整模型
I

ABSTRACT
Futures, as an indispensable part of the financial industry, have an important impact on the
overall development of the financial market. After 20 years of development, China's futures market
has a certain scale, market system is gradually improved, and trading varieties are gradually
diversified. China is currently in the period of vigorously developing infrastructure, the downstream
products of crude oil are used in all walks of life, so crude oil plays an important role in China's
economic development. China's crude oil futures have been on the market for three years and have
developed into one of the more mature international futures varieties. Influenced by the
international situation in the past year, the price of crude oil has been in an unstable situation and
even appeared extreme prices. In this context, the study of cross-variety arbitrage strategy of crude
oil can enrich China's theories in the field of futures and even cross-variety, and provide investors
with the investment concept and investment plan of cross-variety arbitrage of crude oil.
Crude oil and petroleum bitumen are in the same industrial chain. This paper chooses crude oil
futures and petroleum bitumen futures to conduct cross-variety arbitrage research. First of all, the
relevant literature at home and abroad is read and sorted out, and the current situation of
cross-variety arbitrage in crude oil futures market is summarized. Then the development of crude
oil and petroleum bitumen spot market in China is introduced. Based on the above research
background, cross-variety arbitrage strategy is designed. Secondly, Eviews 10 is used to test the
correlation between the historical closing prices of the selected three-year crude oil futures and
petroleum asphalt futures contracts from 2018 to 2021. The unit root test of crude oil futures and
petroleum bitumen futures shows that the price sequences of the two futures are the same as
first-order integration. The engle-Granger test of futures price series shows that there is a long-term
equilibrium relationship between crude oil futures and petroleum asphalt futures. Then, the
arbitrage model is constructed, and the opening, closing and stop-loss thresholds are determined
according to the price difference sequence of crude oil futures and petroleum asphalt futures, and
the arbitrage rules and arbitrage intervals are set. Using this arbitrage model, 16 arbitrage
opportunities were found. Then out-of-sample data are selected to test the feasibility of the arbitrage
strategy constructed in this paper, and profitable arbitrage opportunities are also found.
Finally, based on the empirical results of this paper, this paper puts forward countermeasures
and suggestions for the shortcomings of arbitrage strategies and risks in cross-variety arbitrage, and
puts forward countermeasures and suggestions for futures related institutions, government
regulatory institutions and investors themselves. It provides theoretical and practical guidance for
investors to carry out cross-variety arbitrage and promotes the development of cross-variety
III
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