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dc.contributor.authorJiang, Huayun
dc.contributor.authorTodorova, Neda
dc.contributor.authorRoca, Eduardo
dc.contributor.authorSu, Jen-Je
dc.date.accessioned2019-07-06T12:31:03Z
dc.date.available2019-07-06T12:31:03Z
dc.date.issued2019
dc.identifier.issn1469-7688
dc.identifier.doi10.1080/14697688.2019.1571682
dc.identifier.urihttp://hdl.handle.net/10072/384425
dc.description.abstractThis 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.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto19
dc.relation.ispartofjournalQuantitative Finance
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchCommerce, management, tourism and services
dc.subject.fieldofresearchEconomics
dc.subject.fieldofresearchMathematical sciences
dc.subject.fieldofresearchcode3502
dc.subject.fieldofresearchcode35
dc.subject.fieldofresearchcode38
dc.subject.fieldofresearchcode49
dc.titleAgricultural commodity futures trading based on cross-country rolling quantile return signals
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.hasfulltextNo Full Text
gro.griffith.authorTodorova, Neda
gro.griffith.authorSu, Jen-Je


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