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

    Author(s)
    Jiang, Huayun
    Todorova, Neda
    Roca, Eduardo
    Su, Jen-Je
    Griffith University Author(s)
    Todorova, Neda
    Su, Jen-Je
    Year published
    2019
    Metadata
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    Abstract
    This paper formulates and examines a new type of bivariate time series trading strategy based on signals generated from cross-country quantiles of return distributions. We conduct rolling quantile trading strategies separately in the U.S. and Chinese futures markets for soybeans, wheat, corn and sugar over very short (daily, intraday and overnight) holding periods. Overall, we find that these practical strategies outperform various benchmarks and there is a large profit potential when trades follow quantile-based signals rather than focusing on the median only. The results highlight the value of cross-country trading strategies ...
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    This paper formulates and examines a new type of bivariate time series trading strategy based on signals generated from cross-country quantiles of return distributions. We conduct rolling quantile trading strategies separately in the U.S. and Chinese futures markets for soybeans, wheat, corn and sugar over very short (daily, intraday and overnight) holding periods. Overall, we find that these practical strategies outperform various benchmarks and there is a large profit potential when trades follow quantile-based signals rather than focusing on the median only. The results highlight the value of cross-country trading strategies and the harnessing of information from different parts of the return distributions which have so far been neglected.
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    Journal Title
    Quantitative Finance
    DOI
    https://doi.org/10.1080/14697688.2019.1571682
    Subject
    Banking, finance and investment
    Publication URI
    http://hdl.handle.net/10072/384425
    Collection
    • Journal articles

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