Inter-commodity Arbitrage Based on Stochastic Process Model

DOI

10.2991/icmmct-18.2018.49How to use a DOI?

Keywords

Ornstein-uhlenbeck Process, Statistical Arbitrage, Futures Spread Trading.

Abstract

This paper mainly discusses statistical arbitrage model in the application of agriculture futures inter-commodity arbitrage. Based on the substitution relationship, three arbitrage strategies have been designed. Different from the traditional threshold setting method, this paper puts forward the optimization idea of transaction threshold setting. The stochastic spread model based on Ornstein-uhlenbeck process is introduced into the threshold setting. The empirical results show that the feasibility of this improvement.

Copyright

© 2018, 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  - Quan Gu
AU  - Xinghui Lei
PY  - 2018/06
DA  - 2018/06
TI  - Inter-commodity Arbitrage Based on Stochastic Process Model
BT  - Proceedings of the 2018 6th International Conference on Machinery, Materials and Computing Technology (ICMMCT 2018)
PB  - Atlantis Press
SP  - 245
EP  - 248
SN  - 2352-5401
UR  - https://doi.org/10.2991/icmmct-18.2018.49
DO  - 10.2991/icmmct-18.2018.49
ID  - Gu2018/06
ER  -