Futures Trend Strategy Model Based on Recurrent Neural Network

Ru Zhang, Chenyu Huang, Shaozhen Chen

Abstract


In recent years, quantitative investment has been widely used in the global futures market, and its steady investment performance has also been recognized by domestic futures investors. This paper takes the CSI-300 stock index futures as the research object and constructs a futures trend strategy model based on recurrent neural network. Furthermore, this paper back tests the strategy at different periods, different transaction costs and different parameters. The results show that the strategy model has strong profitability and robustness.


Full Text:

PDF


DOI: https://doi.org/10.11114/aef.v5i4.3306

Refbacks

  • There are currently no refbacks.


Paper Submission E-mail: aef@redfame.com

Applied Economics and Finance    ISSN 2332-7294 (Print)   ISSN 2332-7308 (Online)

Copyright © Redfame Publishing Inc.

To make sure that you can receive messages from us, please add the 'redfame.com' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.

-------------------------------------------------------------------------------------------------------------------------------------------------------------