Trend-following trading strategies in commodity futures: A re-examination
By Andrew C. Szakmary, Qian Shen, Subhash C. Sharma. 2010
185 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/4e0ef09a378d89b318d56b8d4c3c8a09c432281c
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- D. Basu
- Joëlle Miffre
- Jacinta Chan Phooi M’ng
- Frank Schuhmacher
- Rozaimah Zainudin
- Martin Eling
- Kenneth J. Singleton
- Andreas Kleefeld
In Finance
- Martin Eling
- D. Basu
- Frank Schuhmacher
- Joëlle Miffre
- Jacinta Chan Phooi M’ng
- Rozaimah Zainudin
- R. Faust
- Kenneth J. Singleton
In Management Science and Operations Research
- Martin Eling
- Frank Schuhmacher
- D. Basu
- Joëlle Miffre
- Jacinta Chan Phooi M’ng
- Rozaimah Zainudin
- Benjamin R. Auer
- R. Faust
Citations in the corpus
- Assessing the Efficacy of Adjustable Moving Averages Using ASEAN-5 Currencies (2016, background): “It establishes specific trading rules using indicators, such as moving averages, to decipher behavioral patterns in time-series data [11], [12], [17], [18], [19], [20], [21], [22], [23].”
- A decision-theoretic foundation for reward-to-risk performance measures (2012, background): “The most popular reward-to-risk performance measure is the Sharpe ratio (see, e.g., Alexander and Baptista, 2010; Darolles and Gourieroux, 2010; Ding et al., 2009; Eling and Faust, 2010; Szakmary et al., 2010; Serban, 2010).”
- Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure (2013, methodology): “The profitability of commodity-based momentum strategies is now well documented (Erb and Harvey, 2006; Miffre and Rallis, 2007; Shen et al., 2007; Szakmary et al. 2010).”