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Detecting fuzzy periodic patterns in futures spreads

Author

Listed:
  • Erhard Reschenhofer

  • Werner Ploberger
  • Georg Lehecka

Abstract

This paper extends an optimal frequency domain test for the detection of synchronous patterns in multiple time series to the case of fuzzy patterns, which are not confined to single frequencies or narrow frequency bands. Applying this extension to corn futures with different delivery dates, we obtain significant results only for the spreads between the different contracts but not for the original contracts, which is an indication that spread trading has the advantage of increased predictability. Copyright Springer-Verlag Berlin Heidelberg 2014

Suggested Citation

  • Erhard Reschenhofer & Werner Ploberger & Georg Lehecka, 2014. "Detecting fuzzy periodic patterns in futures spreads," Statistical Papers, Springer, vol. 55(2), pages 487-496, May.
    • Handle: RePEc:spr:stpapr:v:55:y:2014:i:2:p:487-496
    DOI: 10.1007/s00362-012-0493-7
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    References listed on IDEAS

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    1. Paul Berhanu Girma & Albert S. Paulson, 1998. "Seasonality in petroleum futures spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(5), pages 581-598, August.
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    5. Christian Dunis & Jason Laws & Ben Evans, 2008. "Trading futures spread portfolios: applications of higher order and recurrent networks," The European Journal of Finance, Taylor & Francis Journals, vol. 14(6), pages 503-521.
    6. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
    7. Leïla Nouira & Mohamed Boutahar & Vêlayoudom Marimoutou, 2009. "The effect of tapering on the semiparametric estimators for nonstationary long memory processes," Statistical Papers, Springer, vol. 50(2), pages 225-248, March.
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