Futures Trend Strategy Model Based on Recurrent Neural Network

Ru Zhang, Chenyu Huang and Shaozhen Chen

Applied Economics and Finance, 2018, vol. 5, issue 4, 95-101

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.

Keywords: futures trend strategy; recurrent neural network; quantitative trading (search for similar items in EconPapers)
Date: 2018
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