China's Gold Statistical Arbitrage

DOI

10.2991/meic-14.2014.314How to use a DOI?

Keywords

Stock Price; Gold Price; Arbitrage strategy; Time series; Gold price volatility

Abstract

This article tries to find an arbitrage strategy in the gold prices market of China. And the method is the linear regression based on the time serious date, the gold price, the gold companies’ stock prices and other metals prices from 2002 to 2014, and the data of different period, so we tried to test every possible relationship which based on the financial theory between these dates. At last we find there really is a relationship which is statistic tested significantly between the gold price and gold company stock price and based on a special time period date, so we can base the relationship to build an arbitrage strategy, then we test it by the real world dates, and we found it is good, what is more, this method we can use it in the other similar market, for example, silver or oil. And this is not just a method, we can really use it.

Copyright

© 2014, 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/).

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TY  - CONF
AU  - Jiuhong Yu
AU  - Zhibo Wang
PY  - 2014/11
DA  - 2014/11
TI  - China's Gold Statistical Arbitrage
BT  - Proceedings of the 2014 International Conference on Mechatronics, Electronic, Industrial and Control Engineering
PB  - Atlantis Press
SP  - 1392
EP  - 1396
SN  - 2352-5401
UR  - https://doi.org/10.2991/meic-14.2014.314
DO  - 10.2991/meic-14.2014.314
ID  - Yu2014/11
ER  -