An Evaluation of Pairs Trading in Commodity Futures Markets

被引：3
|
作者：
Shen, Li [1 ]
Shen, Kun [1 ]
Yi, Chao [1 ]
Chen, Yixin [1 ]
机构：
[1] China Asset Management Co Ltd, Beijing 100033, Peoples R China
来源：
2020 IEEE INTERNATIONAL CONFERENCE ON BIG DATA (BIG DATA) | 2020年
关键词：
cointegration; pairs trading; commodity futures;
D O I：
10.1109/BigData50022.2020.9377766
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Pairs trading is an algorithm to trade two cointegrated assets in order to get neutral profits theoretically. This paper is aimed to demonstrate the cointegration concepts and pairs trading algorithms. Also, we need to take reality into account, especially margins and commission fees. We use grid search methods to find ideal combinations of trading signals. It turns out that this trading algorithm can achieve great performances.
引用
收藏
页码：5457 / 5462
页数：6
相关论文
共 50 条
  • [1] Pairs trading in Chinese commodity futures markets: an adaptive cointegration approach
    Chen, Danni
    Cui, Jing
    Gao, Yan
    Wu, Leilei
    [J]. ACCOUNTING AND FINANCE, 2017, 57 (05): : 1237 - 1264
  • [2] How trading in commodity futures option markets impacts commodity futures prices
    Luo, Xingguo
    Lin, Yuting
    Yu, Xiaoli
    He, Feng
    [J]. JOURNAL OF FUTURES MARKETS, 2021, 41 (08) : 1333 - 1347
  • [3] Trading Activity and Rate of Convergence in Commodity Futures Markets
    Bosch, David
    Pradkhan, Elina
    [J]. JOURNAL OF FUTURES MARKETS, 2017, 37 (09) : 930 - 938
  • [4] Pairs Trading in Commodity Futures: Evidence from the Indian Market
    Aggarwal, Geetu
    Aggarwal, Navdeep
    [J]. INDIAN JOURNAL OF ECONOMICS AND DEVELOPMENT, 2020, 16 (03) : 363 - 371
  • [5] Efficiency and Futures Trading-Price Nexus in Indian Commodity Futures Markets
    Sahoo, Pravakar
    Kumar, Rajiv
    [J]. GLOBAL BUSINESS REVIEW, 2009, 10 (02) : 187 - 201
  • [6] Machine Learning and Algorithmic Pairs Trading in Futures Markets
    Baek, Seungho
    Glambosky, Mina
    Oh, Seok Hee
    Lee, Jeong
    [J]. SUSTAINABILITY, 2020, 12 (17)
  • [7] AGRICULTURAL COMMODITY-MARKETS - A GUIDE TO FUTURES TRADING - ATKIN,M
    WOOLVERTON, MW
    [J]. AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 1991, 73 (02) : 538 - 538
  • [8] AGRICULTURAL COMMODITY-MARKETS - A GUIDE TO FUTURES TRADING - ATKIN,M
    BASCOU, P
    [J]. JOURNAL OF AGRICULTURAL ECONOMICS, 1990, 41 (03) : 445 - 445
  • [9] Algorithmic quoting, trading, and market quality in agricultural commodity futures markets
    Hu, Zhepeng
    Teresa, Serra
    Garcia, Philip
    [J]. APPLIED ECONOMICS, 2020, 52 (58) : 6277 - 6291
  • [10] FUTURES TRADING AND THE WELFARE EVALUATION OF COMMODITY PRICE STABILIZATION
    GILBERT, CL
    [J]. ECONOMIC JOURNAL, 1985, 95 (379): : 637 - 661
12345