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Trend following, risk parity and momentum in commodity futures

Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2012

Persistent link: https://www.econbiz.de/10009663202

Trend following, risk parity and momentum in commodity futures

Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - In: International review of financial analysis 31 (2014), pp. 1-12

Persistent link: https://www.econbiz.de/10010461541

Time-Series Momentum in the Chinese Commodity Futures Market

Cho, Hoon - 2019

This study examines time-series momentum in the Chinese commodity futures market. The findings show that a time …-series momentum strategy performs best with a one-month look-back period and a one-month holding period. Furthermore, this strategy … outperforms passive long and cross-sectional momentum strategies in the Chinese futures market based on Sharpe ratios, risk …

Persistent link: https://www.econbiz.de/10012895464

Order Book Price Impact in the Chinese Soybean Futures Market

Jin, Muzhao; Kearney, Fearghal; Li, Youwei; Yang, Yung … - 2021

We study the price impact of order flow in the world’s largest soybean meal futures markets. Our intraday results indicate that incoming orders can be used to explain price changes and to significantly predict future price changes. Our results are shown to be robust to various order flow...

Persistent link: https://www.econbiz.de/10013246228

Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures

Bohl, Martin T. - 2018

Chinese futures markets for agricultural commodities are among the fastest growing futures markets in the world and trading behaviour in those markets is perceived as highly speculative. Therefore, we empirically investigate whether speculative activity in Chinese futures markets for...

Persistent link: https://www.econbiz.de/10012929811

Suitable Price Discovery Measurement of Bitcoin Spot and Futures Markets

Robertson, Kevin; Zhang, Jiani - 2022

Derivatives are playing an increasing role within the trading ecosystem of Bitcoin markets. This includes futures that are traded on US regulated exchanges like the Chicago Mercantile Exchange (CME) and unregulated exchanges like Binance. Prior research on which bitcoin markets lead in price...

Persistent link: https://www.econbiz.de/10013307968

Betting against beta (and gamma) using government bonds

Durham, J. Benson - 2015

Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...

Persistent link: https://www.econbiz.de/10010467093

Kryptowährungen in der Asset-Allokation : eine empirische Untersuchung auf Basis eines beispielhaften deutschen Multi-Asset-Portfolios

Glas, Tobias N.; Poddig, Thorsten - In: Vierteljahrshefte zur Wirtschaftsforschung 87 (2018) 3, pp. 107-128

Dieser Artikel zeigt, dass eine Beimischung von Kryptowährungen in ein Portfolio, bestehend aus mehreren deutschen Asset-Klassen, mit Vorsicht zu betrachten ist. Auf Grund einer hohen realisierten Volatilität werden Kryptowährungen unter einem Markowitz- und Risikoparitätsansatz nur...

Persistent link: https://www.econbiz.de/10012053532

Robust optimization-based commodity portfolio performance

Adhikari, Ramesh; Putnam, Kyle J.; Panta, Humnath - In: International Journal of Financial Studies : open … 8 (2020) 3/54, pp. 1-17

futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of … robust commodity futures portfolios. This paper documents the benefits of applying a sophisticated, robust optimization … technique to construct commodity futures portfolios. We find that a 12-month lookback period contains the most useful …

Persistent link: https://www.econbiz.de/10012291900

Enhancing Agricultural Market Information Services is Necessary for Efficient Trading in Agricultural Commodity Derivatives

Lingareddy, Tulsi - 2017

India has witnessed a limited progress in Agricultural Market Information Services (AMIS) confining to dissemination of the available information rather than improving its extent of coverage, quality and timeliness. The paper attempts to discuss the critical gaps in the existing system of AMIS...

Persistent link: https://www.econbiz.de/10012964332