Quantitative Trading Strategic Research Of Rapeseed Meal Futures

Quantitative investment has been the major trading method between overseas institutional investors and individual investors.Quantitative trading is still in its early stage because China started relatively late.Developing quantitative investment can not only realize investment risk management better but also enhance effectiveness of the futures market and reaching a higher level of price discovery function.Trading strategy design plays the key role in quantitative investment.An effective strategy can discover price deviation due to the process of trading,deriving alpha from the price getting back to normal level,which is shown by plenty of studies.This paper designed a day-trading strategy,focusing on the characteristics of China rapeseed meal futures,analyzed the risk-reward characteristics of the strategy though back-testing.This strategy is proved feasible,providing a new angle which is beneficial to other researchers during designing process.Given that asset price volatility can be predicted to some extent,volatility forecasting helps investors judging market risk thus more effectively in developing trading strategies and in risk managing.In volatility analysis,this paper analyzed the high frequency time series of China's rapeseed meal futures and built a strategy based on AR and GARCH models,combined with VaR method.Main innovation points line in:Firstly,unlike most literature,this paper do not use logarithm yield sequence,but uses adjusted price-average deviation degree sequence instead.Secondly,while selecting contract for study,uses newer contract that has fewer public works done by domestic scholars.This paper mainly contains four parts.The first part is summary of quantitative trading development and researching status quo.The second part includes introduction of China rapeseed meal futures and why selecting this contract for researching.The third part refers and introduces some timing strategy design.In the last and most important part is empirical analysis,which including studying on high-frequency series characteristic based on AR-GARCH model,giving out a strategy under VaR method,put forward somesuggestions.Based on the empirical result of this strategy,using AR-GARCH model for designing strategy could be an effective way both in theory and practice.In general,this paper with a convincing transferable strategy that provides practical reference for small institutional investors and individual investors during strategy designing.