%0 Journal Article
%T Program trading strategy based on Copula functions<br>基于Copula函数的程序化交易策略
%A ZHANG Ge
%A CHENG Ke
%A LU Feng-bin
%A WANG Shou-yang
%A <br>张戈
%A 程棵
%A 陆凤彬
%A 汪寿阳
%J 系统工程理论与实践
%D 2011
%I 
%X This paper measured the coefficient of lower tail dependence between two series by using Copula functions,and established an objective function to capture the short sell signals in the real time trading process.We presented a new high-frequency trading strategy based on the signals and applied to Chinese sugar and cotton futures.The empirical results show that the proposed trading strategy gains a high and stable return,and it also manages the trading risk properly.
%K program trading
%K high-frequency data
%K Copula function
%K coefficient of lower tail dependence<br>程序化交易
%K 高频数据
%K Copula函数
%K 下尾部相关系数
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=4A5F489A441D7CC9C3888F04085C1F1A&yid=9377ED8094509821&vid=4AD960B5AD2D111A&iid=E158A972A605785F&sid=4158386E7B9422C8&eid=10A39635766FF5D0&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=18