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Commodity Pairs trading with dynamic cointegration

Bibliographic Details
Main Author: Hansen, Bård Andre
Publication Date: 2023
Format: Master thesis
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10362/179742
Summary: This paper investigates the efficacy of a commodity pairs trading strategy using a dynamic cointegration approach. It analyses 17 commodities futures from 2007-2022, employing a rolling cointegration method to identify mean-reverting pairs. The strategy optimizes pairs selection and utilizes cointegration as a trading signal. It demonstrates robust performance with notable risk adjusted returns, especially after selection of the top performing pairs. The study contributes to pairs trading strategies and provides insights into alternative applications of cointegration.
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spelling Commodity Pairs trading with dynamic cointegrationCointegrationCommoditiesFuturesQuantitative strategiesPairs tradingDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper investigates the efficacy of a commodity pairs trading strategy using a dynamic cointegration approach. It analyses 17 commodities futures from 2007-2022, employing a rolling cointegration method to identify mean-reverting pairs. The strategy optimizes pairs selection and utilizes cointegration as a trading signal. It demonstrates robust performance with notable risk adjusted returns, especially after selection of the top performing pairs. The study contributes to pairs trading strategies and provides insights into alternative applications of cointegration.Hirschey, Nicholas H.RUNHansen, Bård Andre2025-02-25T11:04:25Z2024-01-232023-12-202024-01-23T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/179742TID:203865804enginfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-03-03T01:38:45Zoai:run.unl.pt:10362/179742Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T00:07:00.135549Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Commodity Pairs trading with dynamic cointegration
title Commodity Pairs trading with dynamic cointegration
spellingShingle Commodity Pairs trading with dynamic cointegration
Hansen, Bård Andre
Cointegration
Commodities
Futures
Quantitative strategies
Pairs trading
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Commodity Pairs trading with dynamic cointegration
title_full Commodity Pairs trading with dynamic cointegration
title_fullStr Commodity Pairs trading with dynamic cointegration
title_full_unstemmed Commodity Pairs trading with dynamic cointegration
title_sort Commodity Pairs trading with dynamic cointegration
author Hansen, Bård Andre
author_facet Hansen, Bård Andre
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas H.
RUN
dc.contributor.author.fl_str_mv Hansen, Bård Andre
dc.subject.por.fl_str_mv Cointegration
Commodities
Futures
Quantitative strategies
Pairs trading
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Cointegration
Commodities
Futures
Quantitative strategies
Pairs trading
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This paper investigates the efficacy of a commodity pairs trading strategy using a dynamic cointegration approach. It analyses 17 commodities futures from 2007-2022, employing a rolling cointegration method to identify mean-reverting pairs. The strategy optimizes pairs selection and utilizes cointegration as a trading signal. It demonstrates robust performance with notable risk adjusted returns, especially after selection of the top performing pairs. The study contributes to pairs trading strategies and provides insights into alternative applications of cointegration.
publishDate 2023
dc.date.none.fl_str_mv 2023-12-20
2024-01-23
2024-01-23T00:00:00Z
2025-02-25T11:04:25Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/179742
TID:203865804
url http://hdl.handle.net/10362/179742
identifier_str_mv TID:203865804
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
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instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
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repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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