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Trading on mean-reversion in energy futures markets

Lubnau, Thorben; Todorova, Neda - In: Energy economics 51 (2015), pp. 312-319

Persistent link: https://www.econbiz.de/10011564855

Spread trading strategies in the crude oil futures market

Lubnau, Thorben - 2014

This article explores whether common technical trading strategies used in equity markets can be employed profitably in the markets for WTI and Brent crude oil. The strategies tested are Bollinger Bands, based on a mean-reverting hedge portfolio of WTI and Brent. The trading systems are tested...

Persistent link: https://www.econbiz.de/10010345566

When Chinese mania meets global frenzy : commodity price bubbles

Fan, John Hua; Fernandez-Perez, Adrian; Indriawan, Ivan; … - In: Journal of commodity markets : JCM 36 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10015162610

Spillovers and directional predictability with a cross-quantilogram analysis : the case of U.S. and Chinese agricultural futures

Jiang, Huayun; Su, Jen-je; Todorova, Neda; Roca, Eduardo - In: The journal of futures markets 36 (2016) 12, pp. 1231-1255

Persistent link: https://www.econbiz.de/10011665641

Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets

Jiang, Huayun; Todorova, Neda; Roca, Eduardo; Su, Jen-je - In: Applied economics 49 (2017) 34/36, pp. 3435-3452

Persistent link: https://www.econbiz.de/10011774968

Relative scarcity and convenience yield : evidence from non-ferrous metals

Omura, Akihiro; Chung, Richard; Todorova, Neda; Li, Bin - In: Applied economics 48 (2016) 55/57, pp. 5605-5624

Persistent link: https://www.econbiz.de/10011742083

Information flow, trading activity and commodity futures volatility

Clements, Adam; Todorova, Neda - In: The journal of futures markets 36 (2016) 1, pp. 88-104

Persistent link: https://www.econbiz.de/10011567574

Financialization and De-Financialization of Commodity Futures : A Quantile Regression Approach

Bianchi, Robert - 2019

This study examines the relationship between commodity futures and global stocks. For the first time, we examine the financialization of commodity futures by employing a quantile regression approach. From 2004-2013, we confirm a strong degree of dependence in energy commodities with moderate...

Persistent link: https://www.econbiz.de/10012897786

Agricultural commodity futures trading based on cross-country rolling quantile return signals

Jiang, Huayun; Todorova, Neda; Roca, Eduardo; Su, Jen-je - In: Quantitative finance 19 (2019) 8, pp. 1373-1390

Persistent link: https://www.econbiz.de/10012194793

Financialization and de-financialization of commodity futures: a quantile regression approach

Bianchi, Robert; Fan, John Hua; Todorova, Neda - In: International review of financial analysis 68 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012300938