Tracking speculative trading

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-06-01 DOI:10.1016/j.finmar.2022.100774

Dominik Boos , Linus Grob

引用次数: 2

Abstract

Managed futures funds are predominantly trend-followers. By analyzing positioning data, we provide novel evidence for this claim and estimate signals applied by these funds. We write trend-followers aggregate position as a weighted sum of past daily returns and use a generalized ridge regression for regularization and parameter estimation. This procedure prevents overfitting but remains flexible enough to capture various patterns. For the 23 commodities considered, trend-following can explain speculators’ position changes with an average $R^{2}$ of more than 40%. Finally, we document that producers act as contrarians in a way that closely mirrors the behavior of momentum traders.

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追踪投机交易

受管理的期货基金主要是趋势跟随者。通过分析定位数据，我们为这种说法提供了新的证据，并估计了这些基金应用的信号。我们将趋势追随者的总头寸写成过去日收益的加权和，并使用广义脊回归进行正则化和参数估计。这个过程可以防止过拟合，但保持足够的灵活性来捕获各种模式。对于所考虑的23种大宗商品，趋势跟随可以解释投机者的仓位变化，平均R2超过40%。最后，我们证明了生产者作为反向投资者的行为方式与动量交易者的行为方式非常相似。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.