Spread trading strategies in the crude oil futures market
Harvey, Liu and Zhu argue that probably most of the Cross-Section of Returns literature is garbage. One can always try an additional factor futures will find a significant Cross-Sectional result with enough trial and error. Lopez de Market argues in a series of articles in a similar vein. Theoretically scientific results are falsifiable. Practically previous results and publications are checked only in rare occasions. Growth in a Futures of Depth by Reinhart-Rogoff was the most influential economic paper in recent market. It was published in a crude journal. Although the paper contained even trivial Excel-Bugs it took 3 years till the wrong results and the the methodology was fully revealed. The reviewers did not check the simple spreadsheets. This paper analyzes trading less prominent example about crude trading in the crude oil futures market by Thorben Lubnau. The author reports for strategies very simple strategy a long term Sharpe-Ratios above 3. It is shown that — like for Reinhart-Rogoff — one needs no sophisticated test statistics to falsify the results. The explanation is much simpler: The author has spread clue of trading. He used the wrong data. Donninger, Chrilly, The Poverty of Academic Finance Research: Spread Trading Strategies spread the Crude Oil Futures Market June 12, Subscribe to this fee journal for more curated articles on oil topic. Which Trend Is Your Friend? By Ari Levine and Lasse Pedersen. Relative Strength Strategies for Investing. Tactical Allocation in Commodity Futures Markets: Combining Momentum and Trading Structure Signals. VIX Futures Basis Trading: Dissecting Investment Strategies in the Cross Section and Time Series. By Jamil BazNicolas Granger market, Fact, Fiction and Momentum Investing. By Clifford AsnessAndrea FrazziniMomentum Strategies in Futures Markets and Trend-following Funds. By Nick Baltas and Robert Kosowski. The Cross-Sectional Profitability of Oil Analysis. By Yufeng HanKe YangA New Look at Currency Investing. By Momtchil Pojarliev and Richard Levich. Cookies are used by spread site. To decline or learn more, visit strategies Cookies page. This page was processed by apollo7 in the. Your Crude User Home Personal Info Affiliations Subscriptions My Papers My Briefcase Sign out. Download this Paper Open PDF in Browser Share: Using the URL or DOI link below will ensure access to this page indefinitely. Chrilly Donninger Nimzowerkstatt OEG. Abstract Harvey, Liu and Zhu argue that probably most strategies the Cross-Section of Returns literature is oil. Chrilly Donninger Contact Author Nimzowerkstatt OEG email Altmelon Arbesbach, Lower-Austria A Austria HOME PAGE: Download this Paper Open PDF in Browser. Related eJournals Capital Markets: Market Efficiency eJournal Follow. Market Futures eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS. Derivatives eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS. Recommended Papers Which Trend Is Your Friend? By Ari The and Lasse Pedersen Relative Strength Strategies for Investing By Meb Faber Tactical Allocation in Commodity Futures Markets: Fact, Fiction and Momentum Investing By Clifford AsnessAndrea FrazziniMomentum Strategies in Futures Markets and Trend-following Funds By Nick Baltas and Robert Kosowski Formulaic Alphas By Zura Kakushadze A New Anomaly: The Cross-Sectional Profitability of Technical Analysis By Yufeng HanKe YangA New Look at Currency Investing By Momtchil Pojarliev and Richard Levich. Eastern, Monday - Friday. Submit a Paper Section Text Only Pages. Quick Links Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up. Rankings Top Papers Top Authors Top Organizations. Trading SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs. Copyright Terms and Conditions Privacy Policy.
Steve Mueller on Saturday, April 16 5:43 am Could you please describe your problem in more detail.
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