In this study, the fundamental empirical characteristics of the Chinese futures markets, which includes all the liquid financial and commodity futures traded in mainland China, are analyzed at different time scales. The comprehensive results for the whole range of products provide valuable...

This paper tests a wide range of momentum and reversal strategies at different trading frequencies for the complete Chinese commodity futures market dataset. Accurate estimates of transaction costs for each commodity and the minute level futures prices are utilized to obtain the most realistic...

In this study, the profitability of different pairs selection and spread trading methods are compared using the complete dataset of commodity futures from Dalian Commodity Exchange (DCE), Shanghai Futures Exchange (SHFE) and Zhengzhou Commodity Exchange (CZCE). Pairs trading methods that are...

We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the risky asset holding must go to zero in time. Existence of statistical...

In this paper, we investigate the goodness-of-fit of three Lévy processes, namely Variance-Gamma (VG), Normal-Inverse Gaussian (NIG) and Generalized Hyperbolic (GH) distributions, and probability distribution of the Heston model to index returns of twenty developed and emerging stock markets....

Covers -- Editorial boards -- Guest editorial -- Can prospect theory explain the disposition effect? An analysis based on value function -- The mechanism and effectiveness of credit scoring of P2P lending platform -- Analyzing and forecasting the Chinese term structure of interest rates using...