Trading futures spread portfolios: applications of higher order and recurrent networks

This paper investigates the modelling and trading of oil futures spreads in the context of a portfolio of contracts. A portfolio of six spreads is constructed and each spread forecasted using a variety of modelling techniques, namely, a cointegration fair value model and three different types of neu...

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Veröffentlicht in:	The European journal of finance 2008-01, Vol.14 (6), p.503-521
Hauptverfasser:	Dunis, Christian L., Laws, Jason, Evans, Ben
Format:	Artikel
Sprache:	eng
Schlagworte:	Cointegration Commodity futures Forecasting techniques Futures futures spreads Futures trading higher order networks Neural networks Oil price Portfolio management recurrent networks Spread Studies trading filters
Online-Zugang:	Volltext
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