过去的二十年间，我国的期货市场经历了蓬勃发展，期货交易受到了广泛关注，特别是期货套利。本文选取了期货铜作为研究对象，研究内容为伦敦金属交易所与上海期货交易所两市之间的跨市套利策略有效性。本文首先对已有相关文献进行梳理，整理了文献中得出的相关结论，清晰了跨市套利策略设计的流程。接着选取了2010年1月1日至2019年12月31日十年间的期货铜价格数据，计算得出LME铜与SHFE铜的价格相关性系数为0.97；通过协整分析发现LME铜与SHFE铜的价格具有长期稳定关系，比价围绕0.86的均值上下波动，满足跨市套利的前提。根据比价关系确定合理的波动区间并设计出套利策略后，编写程序对套利策略进行回测，回测结果显示策略的年平均收益率可以达到19.91%。此后，运用主成分分析法进行有效性分析，结果显示套利策略可以规避大部分市场常规风险，有独立运作空间。

In the past two decades, China's futures market has experienced vigorous development, and futures trading has received widespread attention, especially futures arbitrage. This article selects futures copper as the research object, and the research content is the effectiveness of the cross-market arbitrage strategy between the London Metal Exchange and the Shanghai Futures Exchange. First of all, we sort out the existing related literatures, collates the relevant conclusions drawn in the literatures, and clarifies the process of cross-market arbitrage strategy design. Then we select the futures copper price data for the ten years from January 1, 2010 to December 31, 2019, and calculates the price correlation coefficient of LME copper and SHFE copper to be 0.97. Through cointegration analysis, it is found that the prices of LME copper and SHFE copper have a long-term stable relationship, and the parity price fluctuates around the average value of 0.86, which meets the premise of cross-market arbitrage. After determining a reasonable volatility interval and designing an arbitrage strategy based on the price ratio relationship, we write a program to backtest the arbitrage strategy. The backtesting result shows that the average annual rate of return of the strategy can reach 19.91%. Since then, the principal component analysis method has been used to perform the effectiveness analysis. The result shows that arbitrage strategies can avoid most of the market's conventional risks and have independent operating space.

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