套利--Arbitrage的风险Risk

套利--Arbitrage的风险Risk

    以前学习金融理论的时候，单纯的认为可以通过寻找市场的中的套机计划，可以此谋利。但是现在看来一般意义的套利交易都是有风险的，无风险的套利似乎只在理论中存在，因为有交易风险，市场风险等风险无处不在。

       现实中最稳妥的套利可能你是我一手给50，你一手给我100，同时交换，还要保证钱是真的，还有就是你不抢我的，呵呵。

       市场风险，现在有一种职业或者公司靠撮合债券交易（场外），他通过中介的方式进行，而不是简单的买入倒手卖出。

       套利是有风险的……

Arbitrage is possible when one of three conditions is met:

The same asset does not trade at the same price on all markets ("the law of one price").

Two assets with identical cash flows do not trade at the same price.

An asset with a known price in the future does not today trade at its future price discounted at the risk-free interest rate (or, the asset does not have negligible costs of storage; as such, for example, this condition holds for grain but not for securities).

Arbitrage is not simply the act of buying a product in one market and selling it in another for a higher price at some later time. The transactions must occur simultaneously to avoid exposure to market risk, or the risk that prices may change on one market before both transactions are complete. In practical terms, this is generally only possible with securities and financial products which can be traded electronically.

In the most simple example, any good sold in one market should sell for the same price in another. Traders may, for example, find that the price of wheat is lower in agricultural regions than in cities, purchase the good, and transport it to another region to sell at a higher price. This type of price arbitrage is the most common, but this simple example ignores the cost of transport, storage, risk, and other factors. "True" arbitrage requires that there be no market risk involved. Where securities are traded on more than one exchange, arbitrage occurs by simultaneously buying in one and selling on the other.

See rational pricing, particularly arbitrage mechanics, for further discussion.

Mathematically it is defined as follows:

and

where Vt means a portfolio at time t.

The debacle of Long-Term Capital Management

Main article: Long-Term Capital Management

Long-Term Capital Management (LTCM) lost 4.6 billion U.S. dollars in fixed income arbitrage in September 1998. LTCM had attempted to make money on the price difference between different bonds. For example, it would sell U.S. Treasury securities and buy Italian bond futures. The concept was that because Italian bond futures had a less liquid market, in the short term Italian bond futures would have a higher return than U.S. bonds, but in the long term, the prices would converge. Because the difference was small, a large amount of money had to be borrowed to make the buying and selling profitable.

The downfall in this system began on August 17, 1998, when Russia defaulted on its ruble debt and domestic dollar debt. Because the markets were already nervous due to the Asian financial crisis, investors began selling non-U.S. treasury debt and buying U.S. treasuries, which were considered a safe investment. As a result the price on US treasuries began to increase and the return began decreasing because there were many buyers, and the return on other bonds began to increase because there were many sellers. This caused the difference between the prices of U.S. treasuries and other bonds to increase, rather than to decrease as LTCM was expecting. Eventually this caused LTCM to fold, and their creditors had to arrange a bail-out. More controversially, officials of the Federal Reserve assisted in the negotiations that led to this bail-out, on the grounds that so many companies and deals were intertwined with LTCM that if LTCM actually failed, they would as well, causing a collapse in confidence in the economic system. Thus LTCM failed as a fixed income arbitrage fund, although it is unclear what sort of profit was realized by the banks that bailed LTCM out.

套利，就是在某种金融资产拥有两个价格的情况下，以较低的价格买进，较高的价格卖出，从而获取收益。例如，某个股票同时在伦敦和纽约上市，同股同权，但是在纽约卖10美元，在伦敦却卖12美元，投资者就可以在纽约买进，到伦敦卖出。

现实中的套利策略非常复杂，流行的分支有可转换债券套利（Convertible Arbitrage），股息套利（Dividend Arbitrage），兼并套利（Merger Arbitrage）等等。在正统的金融学教材上，对套利行为有非常严格的数学定义，分为第一种套利机会和第二种套利机会。

by ArisZheng
金融工程, 数学算法

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