The aim of this paper is to investigate the Support Vector Machine (SVM), the Binary Gravity Search Algorithm combined Support Vector Machine (BGSA-SVM), the Multi-layer Perceptron (MLP), the Convolution Neural Network (CNN) and the Long Short-Term Memory (LSTM) neural network, when applied to...

This paper uses five pairs trading strategies to conduct in-sample training and backtesting on 35 commodities in the major commodity markets from 1980 to 2018. The Distance Method (DM) and the Co-integration Approach (CA) are used for pairs formation. The Simple Thresholds (ST) strategy, Genetic...