We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

We exploit a 2018 exchange‐mandated increase of the maximum order size in some—but,
crucially, not all—US agricultural futures markets, to link exogenous constraints on order …

This study researches the topic of trading futures spreads, that is, trading the pricing
differential between two futures contracts. We trade an equally weighted portfolio of three oil …

Beginning with the 2008 financial crisis, crude oil futures market participants began to
observe situations where contango spread values exceeded carrying charge amounts many …

采用均值一方差期望效用函数, 推导了在给定风险条件下, 期望收益最大的最优价差套利头寸
比例, 并且引入常方差(双变量向量自回归和双变量协整模型) 来估计方差一协方差矩阵 …

The focus of this thesis are futures spreads, more specifically trading strategies based on
two approaches-cointegration tested on inter-commodity spreads and seasonality observed …

Many professional traders, hedgers, and institutional investors utilise spread trading to
engage in the futures market. Most of the literature dedicated to futures spreads was …

Speculation on the spreads of futures contracts with different expiry dates or calendar
spreads may have good return, and it is less risky than outright positions. If determinants of …