Title :
On Arbitrage System of Precious Metal Futures Market in China Based on C++
Author :
Feng Xu ; Yue Liu
Author_Institution :
Res. Center of Financial Eng., South China Univ. of Technol., Guangzhou, China
Abstract :
Based on the principle of mean reversion and RBF neural network, this dissertation designs an arbitrage system of Chinese precious metal futures market by means of C++. It proves that it is technically feasible to apply quantitative investment to domestic precious metal futures trading on the basis of the actual data obtained in the application of the quantitative arbitrage system in Shanghai Futures Exchanges. The research findings provide foundation for quantitative arbitrage of precious metal futures market in China..
Keywords :
C++ language; commodity trading; financial data processing; investment; radial basis function networks; C++; China; Chinese precious metal futures market; RBF neural network; Shanghai Futures Exchanges; domestic precious metal futures trading; mean reversion principle; quantitative arbitrage system; quantitative investment; Analytical models; Econometrics; Educational institutions; Investment; Metals; Neural networks; Predictive models; Arbitrage System; C++; Precious Metal Futures Market;
Conference_Titel :
Computer Sciences and Applications (CSA), 2013 International Conference on
Conference_Location :
Wuhan
DOI :
10.1109/CSA.2013.196
