III
Abstract
Futures is a kind of financial derivatives with high liquidity and standardized
management. With the development of China's commodity futures market,
investors began to use all kinds of investment strategies to invest. The use of these
strategies has created benefits for investors and is also conducive to promoting the
development of the market. With machine learning, data mining and other
algorithms gradually applied in stock, commodity futures and other markets, how
to use data mining model to build a more accurate strategy is the concern of
investors and investment institutions. In the research and application of arbitrage
trading strategy, mean regression is a classical model, but the mean regression
trading frequency is less and the return is lower. Neural network is also used in the
study of arbitrage strategy. At present, BP neural network and elm neural network
are mainly used. However, in practical application, there are many parameters of
this kind of neural network, which is prone to over fitting, leading to unstable
performance. GMDH self-organizing network has the characteristics of good
prediction performance and strong stability, and has been widely used in price
prediction and other fields. Therefore, based on the structure principle of GMDH
network and particle swarm optimization algorithm, this paper further optimizes
the structure and parameters of GMDH neural network, and uses the network
model to construct cross species arbitrage strategy, and at the same time, it carries
out empirical research on the combination of oil products. The research in this
paper provides certain theoretical and practical basis for cross species arbitrage.
This paper mainly focuses on palm oil, rapeseed oil and soybean oil futures,
and designs arbitrage trading strategies for these three kinds of oil futures, and
carries out empirical verification. First of all, this paper studies the theory of cross
species arbitrage and various data mining models and methods. Secondly, through
the research on the fundamentals of the above three kinds of futures, it is proved
that there is an internal relationship between the three kinds of oil, so it has the
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