Arbitrage refers to the economic behavior of buying a commodity or asset in one market and selling it in another market in order to make a profit from the price difference. Arbitrage is an important force to eliminate the spread, which can make the market function play more effectively. There are three main forms of arbitrage in the futures market, namely, cross-delivery month arbitrage, cross-market arbitrage and cross-commodity arbitrage. Arbitrage has two functions in the futures market: first, arbitrage provides investors with hedging opportunities; Secondly, it helps to restore distorted market prices to normal levels.

The other is interest arbitrage between different interest rates. Generally speaking, interest rates in western countries are different, some countries have high interest rates and some countries have low interest rates. Interest rate is an important function of international capital activities. Without capital control, capital will cross national boundaries and flow from low-interest countries to high-interest countries. International capital flow must first involve international exchange, capital outflow needs to convert local currency into foreign currency, and capital inflow needs to convert foreign currency into local currency. In this way, the exchange rate becomes a function that affects capital flow.