Design And Software Implementation Of Trading Strategy For Precious Metals Quantitative Spread Arbitrage

Precious metals trading, which uses the precious rare metal as objects of trading behavior. Precious metals trading is mainly divided into physical trading and electronic trading. Generally, by means of transferring cash to physical business in the bank or in gold shop directly to realize physical trading. Electronic trading dish works by the trading platform of computer data like a stock, futures, foreign exchange and other financial products. Currently, the common domestic precious metal trading product is London gold outer disk, and Shanghai Gold TD.Based on statistical arbitrage for trading strategy concept research methods in statistical arbitrage, this paper analyzes the possibility of applying cointegration to arbitrage model. It implements the quantitative spread arbitrage trading strategy research and analysis of the model:It realize the model and methods of construction of statistical arbitrage strategy by the gold futures and gold T+D spread sequence analysis of Shanghai futures exchange,A simulated trading process inspection is achieved through the COMEX silver futures (Nymex) and silver spot TD Trading (Shanghai Gold Exchange) spread between the statistical data analysis arbitrage trading strategies, the mean reversion characteristic and normality of which were also tested.This paper, through the exploratory research of these problems is to seek two basic types of statistical arbitrage trading strategies (forward and reverse arbitrage arbitrage) for quantifing the spread arbitrage strategies, which is conducted from the perspective of static and dynamic trading strategies to build up. And a study was made for the risk of precious metals trading from the losses from different angles such as a number of trading losses, maximum retracement ratio and the longest open time, daily rights equity curve, liquidity shocks, etc.And on this basis, this paper proposed the " metal arbitrage system" design, which provides logic species of single species and different species arbitrage price calculated to form logic including arbitrage products.The topic and research content of this paper is from the high academic research of Financial Research Center of Fudan University (No. No.2012FDFRCGD02) "KDR Modeling of High Frequency Data Analysis Method and Application. "...