Program trading strategy based on Copula functions
基于Copula函数的程序化交易策略

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.