An arbitrage strategy model for ferrous metal futures based on LSTM neural network

DOI10.3969/J.ISSN.0253-2778.2018.02.006zbMath1424.91132OpenAlexW3164464315MaRDI QIDQ5382110

Aoming Long, Xiuchun Bi, Shuguang Zhang

Publication date: 21 June 2019

Full work available at URL: http://just.ustc.edu.cn/EN/10.3969/j.issn.0253-2778.2018.02.006

zbMATH Keywords

cointegrationLSTM neural networkcross-commodity arbitrage arbitrageferrous metal futures

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

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