Soybean Futures Crush Spread Arbitrage: Trading Strategies and Market Efficiency

Journal of Risk and Financial Management

关键词: Futures;    spread;    arbitrage;    market efficiency;    trading strategies;   

DOI  :  10.3390/jrfm3010063

来源: mdpi

【 摘 要 】

This paper revisits the soybean crush spread arbitrage work of Simon (1999) by studying a longer time period, wider variety of entry and exit limits, and the risk-return relationship between entry and exit limits. The lengths of winning and losing trades are found to differ systematically, with winning trades significantly shorter on average than losing trades. Exiting trades near the 5- day moving average is shown to improve trade performance relative to a reversal of sign and magnitude from the entry spread. These results lead to trading rules designed to prevent lengthy trades; however, the profitability of trading rules is found to be unstable.

【 授权许可】

CC BY   
This is an open access article distributed under the Creative Commons Attribution License (CC BY) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.