Arbitrage Based Threshold Cointegration Precious Metals Market

Firstly listed some of the domestic market arbitrage way, summed up several trading strategies, including a low-risk strategy for computer algorithmic trading. Homogeneous commodity prices are cointegrated when prices deviate from equilibrium, the price discovery there has been deviation from the rapid return to equilibrium. Take advantage of this feature threshold cointegrated arbitrage set to facilitate a low-risk strategy.The threshold cointegration belong a new method of nonlinear time series analysis, this article introduces some basic concepts of time series, two limited regime cointegration model assumptions and the derivation of the estimation method. Finally, we take the global precious metal market spot gold, spot silver for example. From the threshold cointegration analysis and adjusting the model, we conclude some interesting conclusions.