Proceedings of the 5th Annual International Conference on Social Science and Contemporary Humanity Development (SSCHD 2019)

Cross-Breed Futures Arbitrage Strategy Based on Elman Model:A Case Study of Bean Market

Authors
Hao Qin
Corresponding Author
Hao Qin
Available Online December 2019.
DOI
10.2991/sschd-19.2019.85How to use a DOI?
Keywords
Futures, soybean, Elman neural network, Arbitrage.
Abstract

China's soybean crushing market has a strong dependence on international soybean prices. Frequent fluctuations in soybean prices have brought greater operational risks to the relevant enterprises, while China's soybean futures have been relatively mature. Therefore, squeezing arbitrage through the futures market can help relevant enterprises to reduce risk and lock in profits. Based on the co-integration theory, this paper studies the arbitrage between soybean, soybean oil and soybean paste futures market and constructs the arbitrage strategies which is more suitable for the Chinese soybean market according to Elman neural network. The empirical results show that Elman neural network arbitrage strategy can achieve considerable positive returns in both inside and outside the sample.

Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 5th Annual International Conference on Social Science and Contemporary Humanity Development (SSCHD 2019)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
December 2019
ISBN
10.2991/sschd-19.2019.85
ISSN
2352-5398
DOI
10.2991/sschd-19.2019.85How to use a DOI?
Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Hao Qin
PY  - 2019/12
DA  - 2019/12
TI  - Cross-Breed Futures Arbitrage Strategy Based on Elman Model:A Case Study of Bean Market
BT  - Proceedings of the 5th Annual International Conference on Social Science and Contemporary Humanity Development (SSCHD 2019)
PB  - Atlantis Press
SP  - 385
EP  - 392
SN  - 2352-5398
UR  - https://doi.org/10.2991/sschd-19.2019.85
DO  - 10.2991/sschd-19.2019.85
ID  - Qin2019/12
ER  -