Ji Qiang, Zhang Dayong, Zhao Yuqian
Institutes of Science and Development, Chinese Academy of Sciences, Beijing, China.
Research Institute of Economics and Management, Southwestern University of Finance and Economics, Chengdu, China.
Ann Oper Res. 2022;313(1):77-103. doi: 10.1007/s10479-021-04097-x. Epub 2021 May 15.
Investigating the co-movements between crude oil futures helps to understand the integration of the global markets. This paper focuses on Shanghai crude oil futures (INE) and study its co-movements with the international benchmarks of WTI and Brent crude oil futures in intra-day day and night trading sessions. A complex network model framework is proposed to analyse the intra-day co-movement patterns labelled by a functional data clustering approach on intra-day return curves. Our findings indicate INE is more integrated with the global market during the night session, but it shows a regional fractional effect during the day session. Based on the revealed dynamics of co-movement patterns, we further design a pairs trading strategy between INE crude oil futures and the international benchmarks. The simulation results show that the pairs trading strategy can be promisingly profitable, even during market turmoil phases.
研究原油期货之间的协同变动有助于理解全球市场的整合情况。本文聚焦于上海原油期货（INE），并研究其在日内日间和夜间交易时段与WTI和布伦特原油期货国际基准的协同变动。提出了一个复杂网络模型框架，以分析通过对日内收益曲线采用功能数据聚类方法标记的日内协同变动模式。我们的研究结果表明，INE在夜间交易时段与全球市场的整合程度更高，但在日间交易时段呈现出区域分割效应。基于所揭示的协同变动模式动态，我们进一步设计了INE原油期货与国际基准之间的配对交易策略。模拟结果表明，即使在市场动荡阶段，配对交易策略也可能有可观的盈利。
