The Applied Research Of Statistical Arbitrage In The Investment Decision-making On Chinese Precious Metal Futures Market

After twenty years of continuous development and growth, China’s futures market has become an important part of the market economy. Currently, gold and silver commodity futures have been listed on the Shanghai Futures Exchange and have initiated the continuous trading system. The development of china’s precious metal futures market is facing an unprecedented opportunity.This paper reviews the theoretical system of statistical arbitrage strategy based on cointegration method; presents the products and situation of China’s precious metals futures market; gives statistical arbitrage steps in China’s precious metals futures market applications; by choosing gold and silver historical price data of Shanghai Futures Exchange, analyzes the case study of statistical arbitrage strategies in China’s precious metals futures market and simulates test of statistical arbitrage strategies yield in China’s precious metals futures market. Besides, this paper analyzes the risk of applying statistical arbitrage strategy in China’s precious metals futures market.Through the analysis and simulation examples, this paper provides an idea to the investors involved in the investment operation of the China’s precious metals futures market.