Time‐series momentum in China's commodity futures market

Hyuna Ham; Hoon Cho; Hyeongjun Kim; Doojin Ryu

doi:10.1002/fut.22053

Time‐series momentum in China's commodity futures market

Journal of Futures Markets ◽

10.1002/fut.22053 ◽

2019 ◽

Vol 39 (12) ◽

pp. 1515-1528 ◽

Cited By ~ 4

Author(s):

Hyuna Ham ◽

Hoon Cho ◽

Hyeongjun Kim ◽

Doojin Ryu

Keyword(s):

Time Series ◽

Futures Market ◽

Commodity Futures

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Time-Series Momentum in the Chinese Commodity Futures Market

SSRN Electronic Journal ◽

10.2139/ssrn.3311479 ◽

2019 ◽

Author(s):

Hoon Cho ◽

Hyuna Ham ◽

Hyeongjun Kim ◽

Doojin Ryu

Keyword(s):

Time Series ◽

Futures Market ◽

Commodity Futures

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The Future of the Commodity Futures Market: How Customer Segregated Accounts Can Be Better Protected from Insolvent Futures Commission Merchants

SSRN Electronic Journal ◽

10.2139/ssrn.2180255 ◽

2012 ◽

Cited By ~ 1

Author(s):

Zachary Brumfield

Keyword(s):

Futures Market ◽

Commodity Futures ◽

The Future

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Quantitative strategy for the Chinese commodity futures market based on a dynamic weighted money flow model

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2018.08.104 ◽

2018 ◽

Vol 512 ◽

pp. 1009-1018

Author(s):

Cheng Ye ◽

Yanjun Qiu ◽

Guohao Lu ◽

Yawen Hou

Keyword(s):

Flow Model ◽

Futures Market ◽

Commodity Futures ◽

Money Flow

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Statistical Arbitrage Trading Strategy in Commodity Futures Market with the Use of Nanoseconds Historical Data

Communications in Computer and Information Science - Information and Software Technologies ◽

10.1007/978-3-319-67642-5_25 ◽

2017 ◽

pp. 303-313

Author(s):

Mantas Vaitonis ◽

Saulius Masteika

Keyword(s):

Historical Data ◽

Futures Market ◽

Trading Strategy ◽

Commodity Futures ◽

Statistical Arbitrage ◽

Arbitrage Trading

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Agricultural commodity futures prices prediction via long- and short-term time series network

Journal of Applied Economics ◽

10.1080/15140326.2019.1668664 ◽

2019 ◽

Vol 22 (1) ◽

pp. 468-483 ◽

Cited By ~ 4

Author(s):

Hongbing Ouyang ◽

Xiaolu Wei ◽

Qiufeng Wu

Keyword(s):

Time Series ◽

Commodity Futures ◽

Futures Prices ◽

Agricultural Commodity ◽

Short Term

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Commodity Futures Market Efficiency in India and Effect on Inflation

SSRN Electronic Journal ◽

10.2139/ssrn.949161 ◽

2006 ◽

Cited By ~ 6

Author(s):

Gurpreet S. Sahi ◽

Gaurav Raizada

Keyword(s):

Market Efficiency ◽

Futures Market ◽

Commodity Futures

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Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market

Journal of Futures Markets ◽

10.1002/fut.20114 ◽

2004 ◽

Vol 24 (9) ◽

pp. 805-834 ◽

Cited By ~ 25

Author(s):

Nicholas Taylor

Keyword(s):

Futures Market ◽

Commodity Futures ◽

Conditional Volatility

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Partially Overlapping Time Series: A New Model for Volatility Dynamics in Commodity Futures

SSRN Electronic Journal ◽

10.2139/ssrn.711386 ◽

2004 ◽

Author(s):

Aaron D. Smith

Keyword(s):

Time Series ◽

Commodity Futures ◽

New Model

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DETERMINANTS OF RETURN VOLATILITY: EVIDENCE FROM INDIAN COMMODITY FUTURES MARKET

Journal of International Finance and Economics ◽

10.18374/jife-13-1.10 ◽

2013 ◽

Vol 13 (1) ◽

pp. 91-108 ◽

Cited By ~ 1

Author(s):

B Chakrabarti ◽

Vivek Rajvanshi

Keyword(s):

Futures Market ◽

Commodity Futures ◽

Return Volatility

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Active trading strategies based on momentum and term structure signals in commodity futures market: evidence from India

Afro-Asian J of Finance and Accounting ◽

10.1504/aajfa.2021.111810 ◽

2021 ◽

Vol 11 (1) ◽

pp. 131

Author(s):

Ritika Jaiswal

Keyword(s):

Term Structure ◽

Futures Market ◽

Trading Strategies ◽

Commodity Futures

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