Research of The Statistical Arbitrage Model of Gold Futures Contract Based on Cointegration
Authors
Ding Congwen, Li Kai, Liu Ran
Corresponding Author
Ding Congwen
Available Online August 2015.
- DOI
- 10.2991/icaicte-15.2015.96How to use a DOI?
- Keywords
- Gold Futures, Stationarity, Co-integrate theory, Statistical Arbitrage
- Abstract
The basic of our study is co-integrate theory. We use Augmented Dickey-Fuller (ADF) test and Engle-Granger (EG) co-integration test to analyze the relationship of closing price of AU1512 gold futures and the price of gold in the same period. According to our analysis, we establish error correction model (ECM) and the statistical arbitrage model. Based on the deviation of short-term price and long-term equilibrium price of gold futures, we make paper-trading to verify the feasibility of the statistical arbitrage model. In addition, we predict the possible trend of gold futures’ price and if there will exist arbitrage opportunity.
- Copyright
- © 2015, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Ding Congwen AU - Li Kai AU - Liu Ran PY - 2015/08 DA - 2015/08 TI - Research of The Statistical Arbitrage Model of Gold Futures Contract Based on Cointegration BT - Proceedings of the 2015 3d International Conference on Advanced Information and Communication Technology for Education PB - Atlantis Press SP - 412 EP - 417 SN - 2352-538X UR - https://doi.org/10.2991/icaicte-15.2015.96 DO - 10.2991/icaicte-15.2015.96 ID - Congwen2015/08 ER -