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澳元汇率与大商所铁矿石期货相关性分析

2017-09-21 10:13:21   中国经济网

图3 I/USD和AUDUSD绘制的散点图

图4 I/USD和AUDUSD的相关性分析结果

图5 对I/USD和AUDUSD的线性回归结果

图6 对I/USD和AUDUSD的边界进行描述

图5展示了通过线性回归得到的回归方程:IUSD=F(X)=318.119×X-170.939(X=AUDUSD>0),两者的数理关系得到了较好的描述。

除此以外,图3的散点图中的描点还呈现出明显的边界现象,即在价格出现在边界附近之后会返回边界内部向回归方程所在的直线收敛,从而可能形成套利机会。在图6中上边界和下边界通过线性方程进行描述,并且可以在图中看到上下边界都被多次确认有效。

因此,可以得出如下结论:澳元和铁矿石的价格存在显著的正相关性,它们之间的关系可以大致用回归方程来描述,此外两者还出现了明显的边界,当价格运行至边界附近,可形成较为有效的套利机会,价格会向边界内运行。

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