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A Robust Investment Trading Decision Support System Based on Nonlinear TAR Cointegration Theory

Sichen Ye


The current financial market is unpredictable, and traditional investment can no longer meet the systematic hedging investment
needs of investors. This investment decision-making system fully considers the complexity of the market and the needs of investors, bringing
together multiple investment categories to achieve comprehensive investment, and conducting precise and systematic risk avoidance analysis and robust decision-making. This paper focuses on justifying and exploring the relevant grounded theory of the system.This article takes
precious metals as an example for report writing. Innovatively utilizing a precious metal market trading strategy based on threshold cointegration model and risk pricing to construct an arbitrage and hedging investment system suitable for a wide range of investors and enterprises.
It also carries out rigorous demonstration and modeling calculations on inter-period and inter-market cross-species arbitrage hedging, which
confirms its feasibility.


Precious Metal Market; Nonlinear TAR Cointegration Model; Arbitrage And Hedging System

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Included Database


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DOI: http://dx.doi.org/10.18686/fm.v9i2.12485