This paper uses machine learning tools to study the serial dependence (lead-lag relations) of commodity futures returns during the post financialization period (January 2004 – December 2019). We use LASSO (Least Absolute Shrinkage and Selection Operator) to select the predictors as the number...

We present a macroeconomic trend extrapolation approach that utilizes all economic fundamentals of different time periods simultaneously in the aggregate market. We demonstrate that the trend-pooling method statistically and economically outperforms the historical average that assumes a constant...