A Study on Gold Futures Arbitrage Strategies Based on Python

Abstract

With the continuous development of Chinas financial derivatives market, gold futures have become an important part of the market.
This study takes the inter-temporal spread of gold futures as the entry point, uses Python programming language to build a quantitative analysis framework, breaks through the limitations of traditional arbitrage strategies in data processing efficiency and model complexity, adapts to
the unique non-stationary time series characteristics of the gold futures market, studies the risk management and strategy evaluation methods
of arbitrage strategies, proposes a dynamic risk management strategy based on Value at Risk (VaR), and evaluates the overall performance of
the arbitrage strategy.