On Arbitrage System of Precious Metal Futures Market in China Based on C++

摘要

Based on the principle of mean reversion and RBF neural network, this dissertation designs an arbitrage system of Chinese precious metal futures market by means of C++. It proves that it is technically feasible to apply quantitative investment to domestic precious metal futures trading on the basis of the actual data obtained in the application of the quantitative arbitrage system in Shanghai Futures Exchanges. The research findings provide foundation for quantitative arbitrage of precious metal futures market in China.