ABSTRACT
Worldwide, metal futures markets play an indispensable role in both individual and corporate investment. During its liquidity boom, the metal futures market in China has been rife with fraud and price manipulation because of the inecient market environment.* is feature makes statistical arbitrage an appropriate quantitative trading strategy in this market. Generally, a statistical arbitrage consists of three main parts (Steve et al. 2004): obtaining arbitrage pairs, establishing the spread series and setting trading thresholds and stopping limits.
