This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and … futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has … return of 7.2% per year between 1983 and 2007. These results do not change substantially when trading is tested over eight …

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and … futures market. The former is exploited by trend-following models, while the latter by contrarian models. In total, the … performance of 2580 widely used models is analyzed. When based on daily data, the profitability of technical stock trading has …

A growing body of literature confirms the significance of the commodity futures basis factor: It has a significantly … positive premium and it explains the cross-section of commodity-futures excess returns. We extend the literature by documenting … predictive relation between this factor and the inter-quartile spread in the basis. Using commodity futures market data between …

and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps … suggests that option traders increase bid-ask spreads to account for trading against investors who are skilled processors of …

futures index and its underlying spot index, using daily data from September 06, 2013 to August 31, 2016. We carry out unit … variance decomposition analysis. The empirical results of this paper reveal that five-year Chinese government bond futures and … variance decomposition analysis show that the returns of five-year Chinese government bond futures one-sidedly lead the …