NDLI: Modified momentum strategies in commodity futures markets

Content Provider	IEEE Xplore Digital Library
Author	Darden, T.A. Ferrenz, M.E. Klann, C.C. Ledwith, M.J. Paddrik, M.E. Davis, G.M.
Copyright Year	2009
Description	Author affiliation: Department of Systems and Information Engineering, University of Virginia, Charlottesville, 22904 USA (Darden, T.A.; Ferrenz, M.E.; Klann, C.C.; Ledwith, M.J.; Paddrik, M.E.; Davis, G.M.)
Abstract	This project examined the profitability of applying momentum-investing strategies to commodity futures markets. Momentum strategies exploit short-term price continuation of securities by buying the highest performers, selling the lowest performers, and holding the positions for short periods of time. This project focused on twenty of the highest volume futures contracts and narrowed the scope of the time horizon to the past ten years. This time horizon showed that the institutionalization of momentum strategies in commodity futures markets has not eroded the potential profit opportunities as first reported by Miffre and Rallis in 2006 [1]. In fact, the institutionalization of these strategies appears to have improved their performance.
Starting Page	218
Ending Page	222
File Size	248568
Page Count	5
File Format	PDF
ISBN	9781424445318
DOI	10.1109/SIEDS.2009.5166181
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2009-04-24
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Systems engineering and theory Data engineering Design engineering USA Councils Profitability Contracts Helium Information security Gravity Portfolios
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

The Co-integrating Relationship between Stock Index and Futures Prices

OPTIMAL PORTFOLIOS IN COMMODITY FUTURES MARKETS

Utility information integration-vision, benefits, strategies, and status

An agent based modeling framework to evaluate the Capital Asset Pricing Model

Pricing dericative securities in incomplete markets

Constructing Internet futures exchange for teaching derivatives trading in financial markets

Fear of Hazards in Commodity Futures Markets

Price momentum and trading volume in commodity futures markets.

Information and Price Response in Storable Commodity Futures Markets: An Application to Lumber Contracts

Modified momentum strategies in commodity futures markets

Similar Documents

The Co-integrating Relationship between Stock Index and Futures Prices

OPTIMAL PORTFOLIOS IN COMMODITY FUTURES MARKETS

Utility information integration-vision, benefits, strategies, and status

An agent based modeling framework to evaluate the Capital Asset Pricing Model

Pricing dericative securities in incomplete markets

Constructing Internet futures exchange for teaching derivatives trading in financial markets

Fear of Hazards in Commodity Futures Markets

Price momentum and trading volume in commodity futures markets.

Information and Price Response in Storable Commodity Futures Markets: An Application to Lumber Contracts

Modified momentum strategies in commodity futures markets