Cross-breed Futures Arbitrage Strategy Based on Elman Model: A Case Study of Bean Market

摘要

China's soybean crushing market has a strong dependence on international soybean prices. Frequent fluctuations in soybean prices have brought greater operational risks to the relevant enterprises, while China's soybean futures have been relatively mature. Therefore, squeezing arbitrage through the futures market can help relevant enterprises to reduce risk and lock in profits. Based on the co-integration theory, this paper studies the arbitrage between soybean, soybean oil and soybean paste futures market and constructs the arbitrage strategies which is more suitable for the Chinese soybean market according to Elman neural network. The empirical results show that Elman neural network arbitrage strategy can achieve considerable positive returns in both inside and outside the sample.