Proceedings of the 2015 3d International Conference on Advanced Information and Communication Technology for Education

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/).

Download article (PDF)

Volume Title
Proceedings of the 2015 3d International Conference on Advanced Information and Communication Technology for Education
Series
Advances in Computer Science Research
Publication Date
August 2015
ISBN
10.2991/icaicte-15.2015.96
ISSN
2352-538X
DOI
10.2991/icaicte-15.2015.96How to use a DOI?
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  -