Steel industry is one of the pillar industries of China's national economy, while the iron ore is the main raw material for smelting steel. China is rich in iron ore resources, but less in rich iron ore, which results in the difficulty and high cost of the use of iron ore. Therefore, the main source of China's iron ore relies on import, at the same time, China becomes the largest production and consumption country. This paper studies domestic and foreign achievements of futures arbitrage from aspects of arbitrage methods and arbitrage strategies, and classifies these literatures. We should consider the price volatility of iron ore futures and the long-term equilibrium relationship with the other relative futures.
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