Title :
Commodity Futures Price Prediction and Trading Strategies -- A Signal Noise Difference Approach
Author :
Jinhao Zheng ; Shoukang Peng
Author_Institution :
Sch. of Finance, Zhejiang Gongshang Univ., Hangzhou, China
Abstract :
This paper introduces the signal noise difference method and applies this method into the commodity futures price prediction. Based on the prediction rules mined from the data of 25 potential prediction indicators of SHFE CU, a corresponding transaction strategy is established. And we use the market data from 2009 to 2013 to test our transaction strategy, which obtains a result of 147.85% annual yield. In addition, several improvements are discussed to optimize this model.
Keywords :
commodity trading; pricing; SHFE CU; commodity futures price prediction; signal noise difference approach; trading strategies; transaction strategy; Contracts; Copper; Data models; Indexes; Market research; Noise; Predictive models; data mining; price prediction; shfe cu; signal noise difference;
Conference_Titel :
Information Science and Cloud Computing Companion (ISCC-C), 2013 International Conference on
Conference_Location :
Guangzhou
DOI :
10.1109/ISCC-C.2013.60
