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Trading futures spread portfolios : applications of higher order and recurrent networks
Dunis, Christian; Laws, Jason; Evans, Ben - In: The European journal of finance 14 (2008) 5/6, pp. 503-521
Persistent link: https://www.econbiz.de/10003772117
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Trading futures spreads : an application of correlation and threshold filters
Dunis, C. L.; Laws, Jason; Evans, Ben - In: Applied financial economics 16 (2006) 12, pp. 903-914
Persistent link: https://www.econbiz.de/10003377844
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Trading futures spread portfolios: applications of higher order and recurrent networks
Dunis, Christian; Laws, Jason; Evans, Ben - In: The European Journal of Finance 14 (2008) 6, pp. 503-521
This paper investigates the modelling and trading of oil futures spreads in the context of a portfolio of contracts. A portfolio of six spreads is constructed and each spread forecasted using a variety of modelling techniques, namely, a cointegration fair value model and three different types of...
Persistent link: https://www.econbiz.de/10005268695
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Trading futures spreads: an application of correlation and threshold filters
Dunis, C.L.; Laws, Jason; Evans, Ben - In: Applied financial economics 16 (2006) 12, pp. 903-914
Persistent link: https://www.econbiz.de/10007631049
Cover Image
Trading futures spread portfolios: applications of higher order and recurrent networks
Dunis, Christian; Laws, Jason; Evans, Ben - In: The European journal of finance 14 (2008) 5-6, pp. 503-522
Persistent link: https://www.econbiz.de/10008134896
Cover Image
Trading futures spread portfolios: applications of higher order and recurrent networks
Dunis, Christian; Laws, Jason; Evans, Ben - In: The European journal of finance 14 (2008) 6, pp. 503-522
Persistent link: https://www.econbiz.de/10008094010
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The use of market data and model combination to improve forecast accuracy
Dunis, Christian; Laws, Jason; Chauvin, Stéphane - In: Developments in forecast combination and portfolio choice, (pp. 45-80). 2001
Persistent link: https://www.econbiz.de/10001719107
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FX volatility forecasts and the informational content of market data for volatility
Dunis, Christian; Laws, Jason; Chauvin, Stéphane - In: The European journal of finance 9 (2003) 3, pp. 242-272
Persistent link: https://www.econbiz.de/10001780709
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Profitable mean reversion after large price drops : a story of day and night in the S&P 500, 400 MidCap and 600 SmallCap Indices
Dunis, Christian; Laws, Jason; Rudy, Jozef - In: The journal of asset management 12 (2011) 3, pp. 185-202
Persistent link: https://www.econbiz.de/10009297425
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Currency trading in volatile markets : did neural networks outperform for the EUR/USD during the financial crisis 2007 - 2009?
Dunis, Christian; Laws, Jason; Schilling, Ulrike - In: Journal of derivatives & hedge funds 18 (2012) 1, pp. 2-41
Persistent link: https://www.econbiz.de/10009535199