Research of Arbitrage based on Corn and Corn Starch Futures Contracts
Abstract
are chosen since there is a high correlation between them. A passive investment method is used to compare with the result of ECM to examine whether it is effective in making benefits. For risk measure, this paper uses Extreme Value Theory (EVT) and Monte Carlo to calculate
the VaR value using the ratio derived above for risk management. The results show that with both higher return and lower risk, the model
built by ECM performed better than the benchmark investment method.
Keywords
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DOI: http://dx.doi.org/10.18686/fm.v9i3.12770
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