Commodity Futures Price Prediction and Trading Strategies--a Signal Noise difference Approach

摘要：

　　This paper introduces the signal noise difference method and applies this method into the commodity futures price prediction.Based on the prediction rules mined from the data of 25 potential prediction indicators of SHFE CU,a corresponding transaction strategy is established.And we use the market data from 2009 to 2013 to test our transaction strategy,which obtains a result of 147.85% annual yield.In addition,several improvements are discussed to optimize this model.

关键词： data mining signal noise difference price prediction SHFE CU

作者: Zheng Jinhao Peng Shoukang

作者单位: School of Finance,Zhejiang Gongshang University,P.R.China

会议类型: 国内会议

会议名称: 第七届立信风险管理论坛

会议地点: 上海

会议语种:英文

页码: 767-790

在线出版日期: 2013-11-08（万方平台首次上网日期，不代表论文的发表时间）