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Microscopic momentum in commodity futures

Author

Listed:
  • Robert J Bianchi
  • Michael E Drew
  • John Hua Fan

Abstract

No abstract is available for this item.

Suggested Citation

  • Robert J Bianchi & Michael E Drew & John Hua Fan, 2015. "Microscopic momentum in commodity futures," Discussion Papers in Finance finance:201510, Griffith University, Department of Accounting, Finance and Economics.
    • Handle: RePEc:gri:fpaper:finance:201510
    as

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    File URL: https://research-repository.griffith.edu.au/bitstream/handle/10072/390378/2015-10-microscopic-momentum-in-commodity-futures.pdf
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    Citations

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    Cited by:

    1. Zhang, Hanxiong & Auer, Benjamin R. & Vortelinos, Dimitrios I., 2018. "Performance ranking (dis)similarities in commodity markets," Global Finance Journal, Elsevier, vol. 35(C), pages 115-137.
    2. Benjamin R. Auer, 2021. "Have trend-following signals in commodity futures markets become less reliable in recent years?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(4), pages 533-553, December.

    More about this item

    Keywords

    Commodity Futures; Conventional Momentum; Echo; Microscopic Momentum;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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