Adaptive Bands Z-Test-Statistics in Futures Markets: A New Technical Analysis Indicator

2013 ◽  
Vol 12 (3) ◽  
pp. 19-47
Author(s):  
Mohd Rizal Palil
Keyword(s):  
Soybean Oil ◽  
Futures Markets ◽  
Abnormal Returns ◽  
Technical Analysis ◽  
Test Statistics ◽  
Futures Prices ◽  
Oil Futures ◽  
Trading Rules

This paper presents a study of technical analysis trading rules that generate abnormal returns for futures prices.  It reports abnormal returns above that of the passive buy-and-hold policy for FKLI, FCPO, Soybean Oil Futures, Soybean Futures and Corn Futures for year 2008 tested. 

scholarly journals Growth And Oil Futures Prices In Developing Countries

2011 ◽  
Vol 6 (8) ◽  
Author(s):  
Salah Abosedra ◽  
Sajal Ghosh
Keyword(s):  
Economic Growth ◽  
Developing Countries ◽  
Economic Activity ◽  
Futures Markets ◽  
Oil Prices ◽  
The Philippines ◽  
Spot Price ◽  
Futures Prices ◽  
Oil Futures ◽  
Short Run

This paper examines cointegration and causality between oil prices and economic growth for the oil importing developing countries of Turkey, India, Pakistan, The Philippines and Korea. The study finds the absence of cointegrating relationship between oil prices and economic activity but the existence of unidirectional short-run causality running from oil prices to economic growths for The Philippines and Pakistan. Unidirectional causality is also found to exist from six and nine month futures prices to economic growth for India and Turkey in a bivariate vector autoregression framework. The study fails to establish causal relationship between oil prices and economic growth for Korea, while for India and Turkey, non-causality has been established between oil spot price and economic growth. Hence, our results may suggest that oil futures markets will have more of a role to play in the economy as these markets mature and or as oil prices continue to increase.

Price Discovery Analysis of Oil Futures Market: A View of Interaction Effect

2012 ◽  
Vol 433-440 ◽  
pp. 4366-4376
Author(s):  
Yong Zeng ◽  
Lei Chen
Keyword(s):  
Interaction Effect ◽  
Information Transfer ◽  
Futures Markets ◽  
Price Discovery ◽  
Futures Market ◽  
Simultaneous Equation ◽  
Spot Markets ◽  
Futures Prices ◽  
Oil Futures ◽  
Arbitrage Trading

Whether oil futures market can perform price discovery function well is very important in global economics and energy markets. The interaction between oil spot and futures prices exists due to intraday information transfer and arbitrage trading. However, the traditional methods used in price discovery analysis ignore the interaction, and thus introduce the biased conclusions. This paper uses simultaneous equation analyze the interaction effect between oil spot and futures returns, estimates the model by the method of modified identification through heteroskedasticity (modified ITH) and examines price discovery function of oil futures markets. Using weekly spot and futures prices of Brent crude oil, gas oil and heating oil between Feb 12, 1999 and Jan 30, 2009, the results suggest oil futures return will affect the corresponding oil spot return. The unidirectional interaction exists. This indicates the information will transfer from futures markets to spot markets and oil futures markets have the major price discovery function. This paper also offers a new view of examining price discovery, i.e. interaction effect.

CLASHING ANALYSES OF SPECULATION AND THE EARLY REGULATION OF US FUTURES MARKETS

2018 ◽  
Vol 40 (4) ◽  
pp. 539-560 ◽  
Author(s):  
John Berdell ◽  
Jin Wook Choi
Keyword(s):  
Statistical Analysis ◽  
New Deal ◽  
Futures Markets ◽  
Efficient Market Hypothesis ◽  
Policy Recommendations ◽  
Futures Prices ◽  
Efficient Market ◽  
Trading Rules ◽  
The Relationship ◽  
The New Deal

This article examines the early regulation of futures markets in the 1920s and 1930s. We contrast the analysis of speculation developed by the Grain Futures Administration (GFA) with Holbrook Working’s. Within the GFA we focus on Paul Mehl, who directed the statistical analysis of order flows, trade volumes, and positions that supported the GFA’s policy recommendations. In retrospect Working was the most prominent academic analyst of futures markets. The relationship between the GFA and Working was complex and at times intimately collaborative, but the New Deal provoked sharp disagreement. Working rejected the tighter trading rules advocated by the GFA as counterproductive and tried to persuade the Secretary of Agriculture to embrace a discretionary approach to regulation based upon his analysis of neighboring futures prices (the Working curve) and his distinctive conception of “perfect markets”—a nuanced version of the subsequent efficient market hypothesis.

Financialization of Commodity Markets

2018 ◽  
Author(s):  
Kyle J. Putnam
Keyword(s):  
Business Cycle ◽  
Futures Markets ◽  
Commodity Price ◽  
Commodity Markets ◽  
Commodity Futures ◽  
Futures Prices ◽  
Price Behavior ◽  
Risk And Return ◽  
Commodity Futures Markets ◽  
Asset Class

In the early 2000s, financial investors began pouring billions of dollars into the commodity futures markets seeking the unique investment benefits of this distinct asset class. This “financialization” process has called into question the fundamental risk and return properties of commodity futures as evidence has emerged favoring the idea that the massive increase in investor flows caused a rise in futures prices, volatility, and intra- and intermarket return correlations. However, a contrarian line of research contends that the effects of the new “speculative” capital on the futures markets are unsubstantiated and the increased participation of financial investors poses little consequence to the economics of the marketplace. This latter line of literature maintains that the investment benefits of commodity futures have not been diminished and that fundamental factors and business cycle variations can explain the observed changes in commodity price behavior.

scholarly journals Improving MACD Technical Analysis by Optimizing Parameters and Modifying Trading Rules: Evidence from the Japanese Nikkei 225 Futures Market

2021 ◽  
Vol 14 (1) ◽  
pp. 37
Author(s):  
Byung-Kook Kang
Keyword(s):  
Moving Average ◽  
Public Information ◽  
Technical Analysis ◽  
Weak Form ◽  
Futures Market ◽  
Traditional Model ◽  
Analysis Tool ◽  
Futures Prices ◽  
Improved Performance ◽  
Parameter Values

Much research has examined performance or market efficiency by using the moving average convergence divergence (MACD) technical analysis tool. However, most tests fail to verify efficiency with the traditional parameter settings of 12, 26, and 9 days. This study confirms that applying the traditional model to Japan’s Nikkei 225 futures prices produces negative performance over the period of 2011–2019. Yet, it also finds that the MACD tool can earn significant positive returns when it uses optimized parameter values. This suggests that the Japanese market is not weak-form efficient in the sense that futures prices do not reflect all public information. Hence, the three parameters values of the MACD tool should be optimized for each market and this should take precedence over finding other strategies to reduce false trade signals. This study also tests which models are able to improve profitability by applying additional criteria to avoid false trade signals. From simulations using 19,456 different MACD models, we find that the number of models with improved performance resulting from these strategies is far greater for models with optimized parameter values than for models with non-optimized values. This approach has not been discussed in the existing literature.

scholarly journals Risk premia in crude oil futures prices

2014 ◽  
Vol 42 ◽  
pp. 9-37 ◽  
Author(s):  
James D. Hamilton ◽  
Jing Cynthia Wu
Keyword(s):  
Crude Oil ◽  
Risk Premia ◽  
Futures Prices ◽  
Oil Futures ◽  
Crude Oil Futures

scholarly journals Risk Premia in Crude Oil Futures Prices

2013 ◽  
Author(s):  
James Hamilton ◽  
Jing Cynthia Wu
Keyword(s):  
Crude Oil ◽  
Risk Premia ◽  
Futures Prices ◽  
Oil Futures ◽  
Crude Oil Futures
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