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...

The pairs trading strategy involves selecting two highly correlated securities to profit from mean reversion. However, the traditional simple threshold method is subjective, random, and ignores nonlinear relationships. This paper proposes a new cointegration deep reinforcement learning (DRL)...