英文标题：
《Stochastic Spread Pairs Trading in the Indian Commodity Market》
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作者：
Dhruv Mahajan, Abhijeet Chandra
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最新提交年份：
2019
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英文摘要：
  In this study, we applied a stochastic spread pairs trading strategy on the Indian commodity market. The complete set of commodities were taken whose spot price was available for the period of January 1st 2010 to December 31st 2018 including energy, metals and the agricultural commodity sector. Spot data was taken from the MCX pooled spot prices for 17 commodities. The data was split into training period (January 1st 2010 to 14th March 2017) and testing period(15th Match 2017 to 31st December 2018). The splitting was done using a 80:20 split.Johanssen Cointegration tests were done on training data for pairs of commodities to check for long-run relationship and the cointegrated commodities were selected for formation of the trading process. We found a total of 12 cointegrated pairs out of 136 possible pairs. Cointegration was assumed for the testing period. A single-factor stochastic trading approach was applied on the logarithmic spread of the cointegrated pairs for both the training and testing period.The parameters of stochastic spread model were estimated using differential evolution algorithm. Also parameters for the trading rule were optimized by backtesting on the training period and assumed for the testing period. The results show a sharpe ratio of above 1.4 for all the commodity cointegrated pairs in the backtesing period.
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中文摘要：
在这项研究中，我们在印度商品市场上应用了随机利差对交易策略。已获得2010年1月1日至2018年12月31日期间的整套商品现货价格，包括能源、金属和农产品部门。现货数据取自17种商品的MCX集合现货价格。数据分为培训期（2010年1月1日至2017年3月14日）和测试期（2017年第15场比赛至2018年12月31日）。拆分是使用80:20拆分完成的。Johanssen对商品对的训练数据进行协整检验，以检验长期关系，并选择协整商品形成交易过程。我们在136个可能的对中总共发现了12个协整对。假设测试期间存在协整关系。在训练和测试期间，采用单因素随机交易方法对协整对的对数价差进行了研究。利用差分进化算法估计随机价差模型的参数。此外，交易规则的参数也通过在训练期间进行回溯测试进行了优化，并在测试期间进行了假设。结果表明，在回溯期内，所有商品协整对的夏普比都在1.4以上。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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