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Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets 用动量策略优化遗传算法的技术交易规则：来自期货市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-18 DOI: 10.1002/fut.22543
Shihan Li, Shuyao Li, Qingfu Liu, Yiuman Tse
{"title":"Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets","authors":"Shihan Li,&nbsp;Shuyao Li,&nbsp;Qingfu Liu,&nbsp;Yiuman Tse","doi":"10.1002/fut.22543","DOIUrl":"10.1002/fut.22543","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper introduces an innovative genetically optimized dynamic composite strategy for achieving profitability in futures markets. Utilizing daily data from 35 actively traded futures contracts (1984–2022), we highlight the potential advantages of integrating the momentum effect into dynamic moving average strategies. This enhancement can boost the strategy's capability to capture and capitalize on market trends, ensuring consistent and stable returns. The developed dynamically composite technical trading strategy aspires to be a valuable reference for investors and the finance academic community, contributing to advancements in the field.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 10","pages":"1640-1661"},"PeriodicalIF":1.8,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141739248","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID-19 Pandemic and the Russia–Ukraine War 动态回报关联性：COVID-19 大流行和俄乌战争期间的投资组合对冲影响
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-18 DOI: 10.1002/fut.22539
Ghulame Rubbaniy, Ali Awais Khalid, Konstantinos Syriopoulos, Efstathios Polyzos
{"title":"Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID-19 Pandemic and the Russia–Ukraine War","authors":"Ghulame Rubbaniy,&nbsp;Ali Awais Khalid,&nbsp;Konstantinos Syriopoulos,&nbsp;Efstathios Polyzos","doi":"10.1002/fut.22539","DOIUrl":"10.1002/fut.22539","url":null,"abstract":"<div>\u0000 \u0000 <p>We apply a Time-Varying Parameter Vector Auto Regressive (TVP-VAR) connectedness approach on global assets to investigate time-varying dynamic connectedness, portfolio performance, and hedge effectiveness during COVID-19 and the Russia–Ukraine war. With increased connectedness and the changing role of energy and soft commodities during these two events, we find the minimum correlation (connectedness) portfolio performing better during COVID-19 and the Russia–Ukraine war and that cumulative returns of portfolios are higher during COVID-19. Additionally, we find varying (stable) hedge effectiveness of equity market indices and soft commodities (cryptocurrencies). This paper provides specific insights to investors about using optimal portfolios and hedging during pandemics and military conflicts.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 10","pages":"1613-1639"},"PeriodicalIF":1.8,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141739247","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Functional Volatility Relationship Analysis and Prediction in International Crude Oil Futures Markets 国际原油期货市场的功能波动关系分析与预测
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-14 DOI: 10.1002/fut.22538
Hao Sun, Xiaodong Li, Zhouzhi Li, Qifeng Fu
{"title":"Functional Volatility Relationship Analysis and Prediction in International Crude Oil Futures Markets","authors":"Hao Sun,&nbsp;Xiaodong Li,&nbsp;Zhouzhi Li,&nbsp;Qifeng Fu","doi":"10.1002/fut.22538","DOIUrl":"10.1002/fut.22538","url":null,"abstract":"<div>\u0000 \u0000 <p>To measure intraday volatility in international crude oil futures markets, we use the functional conditional variance to measure volatility and focus on volatility relationship analysis and prediction. This paper analyzes the simultaneous and predictive volatility relationships in crude oil futures markets. For covariate markets with significantly positive predictive volatility relationships, this paper empirically extends the fGARCH-X model so that it can introduce the volatility characteristics of covariate markets. The empirical application shows that using the fGARCH-X model can generally improve the predictive effects of functional volatility in crude oil futures markets. The robustness results indicate that the improvement in volatility prediction is significant. This study is beneficial for the stable development of international crude oil futures markets and is valuable for investors' investment decision-making.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 10","pages":"1581-1612"},"PeriodicalIF":1.8,"publicationDate":"2024-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141649480","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Option-Implied Ambiguity and Equity Return Predictability 期权隐含模糊性与股票回报可预测性
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-11 DOI: 10.1002/fut.22530
Yanchu Liu, Chen Liu, Yiyao Chen, Xianming Sun
{"title":"Option-Implied Ambiguity and Equity Return Predictability","authors":"Yanchu Liu,&nbsp;Chen Liu,&nbsp;Yiyao Chen,&nbsp;Xianming Sun","doi":"10.1002/fut.22530","DOIUrl":"10.1002/fut.22530","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a model-guided option-implied ambiguity measure to capture uncertainty regarding the return distribution of a risky asset underlying a set of options, and investigate its predictive power on the asset return. A representative investor's ambiguous beliefs or prior distributions on the underlying asset returns are extracted from the market prices of options, the expected volatility of which is then defined as the option-implied ambiguity and is calculated in line with Brenner and Izhakian. Simulated paths of the calibrated models are utilized to compute all pertinent probability characteristics from a forward-looking perspective. The empirical results with SSE 50 ETF options indicate that the proposed option-implied ambiguity has strong predictive power for future returns of SSE 50 ETF. Out-of-sample tests also verify the significant predictive ability of the option-implied ambiguity to the equity returns.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 9","pages":"1556-1577"},"PeriodicalIF":1.8,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141609610","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Journal of Futures Markets: Volume 44, Number 8, August 2024 期货市场期刊》：第 44 卷第 8 号，2024 年 8 月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-08 DOI: 10.1002/fut.22434
{"title":"Journal of Futures Markets: Volume 44, Number 8, August 2024","authors":"","doi":"10.1002/fut.22434","DOIUrl":"https://doi.org/10.1002/fut.22434","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1293"},"PeriodicalIF":1.8,"publicationDate":"2024-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22434","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141561147","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A New Index of Option Implied Absolute Deviation 期权隐含绝对偏差新指数
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-04 DOI: 10.1002/fut.22537
George Dotsis
{"title":"A New Index of Option Implied Absolute Deviation","authors":"George Dotsis","doi":"10.1002/fut.22537","DOIUrl":"10.1002/fut.22537","url":null,"abstract":"<p>This paper proposes a new index of forward looking absolute deviation extracted from option prices. The new index, named absolute deviation index (ADIX), is model-free and easy to compute using at-the-money call and put option prices. It is shown that the spread between volatility index (VIX) and ADIX captures departures from normality in the risk-neutral distribution and an empirical analysis using S&amp;P 500 options data for the time period 1996–2021 reveals that the spread carries significant forecasting ability with respect to future equity returns at short to medium horizons. Portfolio strategies that use the spread as a predictor of S&amp;P 500 returns outperform buy-and-hold strategies in an out-of-sample mean-variance asset allocation exercise.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 9","pages":"1543-1555"},"PeriodicalIF":1.8,"publicationDate":"2024-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22537","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141547388","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Cross-Asset Tandem Trading and Extraordinary Volatility 跨资产串联交易与超常波动性
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-03 DOI: 10.1002/fut.22532
Robert Garrison, Pankaj K. Jain, Mark Paddrik
{"title":"Cross-Asset Tandem Trading and Extraordinary Volatility","authors":"Robert Garrison,&nbsp;Pankaj K. Jain,&nbsp;Mark Paddrik","doi":"10.1002/fut.22532","DOIUrl":"10.1002/fut.22532","url":null,"abstract":"<div>\u0000 \u0000 <p>Cross-asset order flow provides an incremental and novel nonlinear price discovery channel. Structural vector autoregressions of synchronized intraday message data reveal distinct patterns in the comovement of order flow and its influence on returns and volatility. While cross-market order flow usually reconciles prices through small-stakes arbitrage in periods of low volatility and comovement during medium volatility associated with information arrival, it can exacerbate price dislocation from fundamental values during extraordinary volatility. While applying market-wide circuit breakers (MWCB) mitigates the extreme negative spillovers by jointly halting markets, we identify room for further harmonization during the MWCB market reopening process.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 9","pages":"1508-1542"},"PeriodicalIF":1.8,"publicationDate":"2024-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141552431","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Feedback Trading: The Intraday Case of Retail Derivatives 反馈交易：零售衍生品的日内交易案例
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-06-26 DOI: 10.1002/fut.22536
Rainer Baule, Bart Frijns, Sebastian Schlie
{"title":"Feedback Trading: The Intraday Case of Retail Derivatives","authors":"Rainer Baule,&nbsp;Bart Frijns,&nbsp;Sebastian Schlie","doi":"10.1002/fut.22536","DOIUrl":"10.1002/fut.22536","url":null,"abstract":"<p>We analyze retail order flow in terms of intraday feedback trading patterns. Using a unique data set of exchange trades and high-frequency quotes, we first provide evidence that retail investors actively and consciously respond to short-term intraday returns in a negative feedback, contrarian fashion. Second, we show that some retail investors also feedback trade on tick-by-tick returns. Third, we find that on average this behavior leads to significant losses on the day they open a position. These losses are primarily due to the bid-ask spread and to investors' timing inability, but not to market makers taking advantage of investors.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 9","pages":"1487-1507"},"PeriodicalIF":1.8,"publicationDate":"2024-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22536","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141508754","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Pay-for-Success Contract: A Valuation Note 成功付费合同：估值说明
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-06-24 DOI: 10.1002/fut.22534
Andreas Andrikopoulos, Andrianos E. Tsekrekos
{"title":"The Pay-for-Success Contract: A Valuation Note","authors":"Andreas Andrikopoulos,&nbsp;Andrianos E. Tsekrekos","doi":"10.1002/fut.22534","DOIUrl":"10.1002/fut.22534","url":null,"abstract":"<div>\u0000 \u0000 <p>Pay-for-success contracts are social and financial innovations in social policy and capital markets, respectively. This paper argues that they exhibit option-like payoffs and implements standard option-pricing arguments in assessing the value of investing in pay-for-success contracts. Sensitivities vis-à-vis contract specifications are reflected in the valuation formula and help reach investment and social policy decisions. These sensitivities are demonstrated via a numerical application that uses parameters drawn from the Massachusetts Juvenile Justice Pay for Success Initiative, the largest pay-for-success initiative in the United States at the time of its launch.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 9","pages":"1465-1473"},"PeriodicalIF":1.8,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141508756","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Forecasting Crude Oil Volatility Using the Deep Learning-Based Hybrid Models With Common Factors 利用基于深度学习的通用因子混合模型预测原油波动性
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-06-24 DOI: 10.1002/fut.22529
Ke Yang, Nan Hu, Fengping Tian
{"title":"Forecasting Crude Oil Volatility Using the Deep Learning-Based Hybrid Models With Common Factors","authors":"Ke Yang,&nbsp;Nan Hu,&nbsp;Fengping Tian","doi":"10.1002/fut.22529","DOIUrl":"https://doi.org/10.1002/fut.22529","url":null,"abstract":"<div>\u0000 \u0000 <p>Based on empirical evidence of the Chinese commodity futures volatility dynamics, we propose a novel and flexible hybrid model, denoted as SAE-HAR-DL, which combines a supervised autoencoder (AE) with the deep learning-based HAR model framework to capture essential common factor information and uses the reconstruction error of the AE component as a regularizer to enhance the generalization ability of the testing subsample. The empirical findings strongly support the effectiveness of this model in accurately forecasting crude oil futures volatility in the post-COVID-19 era, compared to the HAR, HAR-PCA, and HAR-DL models. Moreover, a robustness check also demonstrates the positive contribution of common factors to the volatility prediction of other commodity futures. Notably, we establish that these common factors act as effective regularizers, mitigating prediction losses within the HAR model in extreme risk events such as the COVID-19 pandemic and the Russia–Ukraine conflict.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1429-1446"},"PeriodicalIF":1.8,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141565730","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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