Intraday price discovery in Indian stock index futures market: new evidence from neural network approach

2017 ◽  
Vol 6 (1) ◽  
pp. 12
Author(s):  
Sarveshwar Kumar Inani ◽  
Saurabh Kumar
Keyword(s):  
Neural Network ◽  
Price Discovery ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Network Approach ◽  
Neural Network Approach ◽  
Index Futures ◽  
New Evidence

scholarly journals Futures Trend Strategy Model Based on Recurrent Neural Network

2018 ◽  
Vol 5 (4) ◽  
pp. 95
Author(s):  
Ru Zhang ◽  
Chenyu Huang ◽  
Shaozhen Chen
Keyword(s):  
Neural Network ◽  
Recurrent Neural Network ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Investment Performance ◽  
Index Futures ◽  
Model Based ◽  
Strategy Model ◽  
Global Futures

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.

Price Discovery in the Chinese Stock Index Futures Market

2019 ◽  
Vol 55 (13) ◽  
pp. 2982-2996 ◽  
Author(s):  
Jing Hao ◽  
Xiong Xiong ◽  
Feng He ◽  
Feng Ma
Keyword(s):  
Price Discovery ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures
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