Similar Search Results

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

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

Does Speculation Impact What Factors Determine Oil Futures Prices?

Gogolin, Fabian - 2016

Recent studies provide contradictory evidence about the impact of speculation on commodity prices. Rather than directly evaluating this relationship we instead use a novel approach to assess if speculation can inform our choice of factor inclusion in modelling oil futures

Persistent link: https://www.econbiz.de/10012989214

Koy, Ayben - 2018

Oil futures prices, which have undergone major changes, maintain an important research topic for academics. Oil prices, which tended to decline for political and economic reasons in the 1990s, fell to as low as 12 US dollars after the Asian Crisis, rising again in 2002. The oil prices, which...

Persistent link: https://www.econbiz.de/10012914438