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Arbitrage Trading Strategy in Gold Futures

Author

Listed:
  • Bell, Peter

Abstract

There appears to be an arbitrage trading strategy in the gold market where you are "long" gold overnight, between the London Fix each day. Holding gold price exposure in this way produced reliable profits between 2000 and 2010. In fact, these reliable profits resemble the returns seen with a theoretical example of an inefficient market where a Bollinger Band trading strategy extracts arbitrage profits from a price series with mean reversion.

Suggested Citation

  • Bell, Peter, 2019. "Arbitrage Trading Strategy in Gold Futures," MPRA Paper 96124, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:96124
    as

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    File URL: https://mpra.ub.uni-muenchen.de/96124/1/MPRA_paper_96124.pdf
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    References listed on IDEAS

    as
    1. Bell, Peter N, 2013. "New Testing Procedures to Assess Market Efficiency with Trading Rules," MPRA Paper 46701, University Library of Munich, Germany.
    2. Jasmina Hasanhodzic & Andrew Lo & Emanuele Viola, 2011. "A computational view of market efficiency," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1043-1050.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Finance; Gold;

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C00 - Mathematical and Quantitative Methods - - General - - - General

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