套利--Arbitrage的風險Risk

套利--Arbitrage的風險Risk

     以前學習金融理論的時候，單純的認為可以通過尋找市場的中的套機計劃，可以此謀利。但是現在看來一般意義的套利交易都是有風險的，無風險的套利似乎隻在理論中存在，因為有交易風險，市場風險等風險無處不在。

       現實中最穩妥的套利可能你是我一手給50，你一手給我100，同時交換，還要保證錢是真的，還有就是你不搶我的，呵呵。

       市場風險，現在有一種職業或者公司靠撮合債券交易（場外），他通過中介的方式進行，而不是簡單的買入倒手賣出。

       套利是有風險的……

Arbitrage is possible when one of three conditions is met:

1. The same asset does not trade at the same price on all markets ("the law of one price").
2. Two assets with identical cash flows do not trade at the same price.
3. 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，就是在某種金融資産擁有兩個價格的情況下，以較低的價格買進，較高的價格賣出，進而擷取收益。例如，某個股票同時在倫敦和紐約上市，同股同權，但是在紐約賣10美元，在倫敦卻賣12美元，投資者就可以在紐約買進，到倫敦賣出。

現實中的套利政策非常複雜，流行的分支有可轉換債券套利（Convertible Arbitrage），股息套利（Dividend Arbitrage），兼并套利（Merger Arbitrage）等等。在正統的金融學教材上，對套利行為有非常嚴格的數學定義，分為第一種套利機會和第二種套利機會。