2020 | OriginalPaper | Buchkapitel
Pairs Trading Based on Risk Hedging: An Empirical Study of the Gold Spot and Futures Trading in China
Erschienen in:
Data Science
Abstract
This paper builds a quantitative investment strategy, which is based on the pairs trading strategy, combined with the support vector machine model in machine learning, and supplements the technical indicators (RSI, SMA) to help the manufacturing and agricultural production sectors to hedge the risk of price fluctuations. An empirical study using gold spot as an example. It is finally found that the quantitative strategy proposed in this paper can well reflect the characteristics of financial markets helping the real economy to reduce risks, and has significant effectiveness in the Chinese market.
