Research of The Statistical Arbitrage Model of Gold Futures Contract Based on Cointegration

摘要

The basic of our study is co-integrate theory. We use Augmented Dickey-Fuller (ADF) test and Engle-Granger (EG) co-integration test to analyze the relationship of closing price of AU1512 gold futures and the price of gold in the same period. According to our analysis, we establish error correction model (ECM) and the statistical arbitrage model. Based on the deviation of short-term price and long-term equilibrium price of gold futures, we make paper-trading to verify the feasibility of the statistical arbitrage model. In addition, we predict the possible trend of gold futures' price and if there will exist arbitrage opportunity.