State-dependent hedge strategy for crude oil spot and futures markets

State-dependent hedge strategy for crude oil spot and futures markets

Relying on the hidden Markov model improved by the particle swarm optimization algorithm (PSO-HMM), we develop a dual-decision method to address the issue of state-dependent futures hedging. Our approach is attractive in two ways. First, it uses the PSO algorithm to overcome the shortcomings of the...

Full description

Bibliographic Details
Main Authors: Xing Yu, Yanyan Li, Xilin Shen, Yunjie Rao, Yongjun Liu
Format: Article
Language:English
Published: Elsevier 2022-11-01
Series:Borsa Istanbul Review
Subjects:
Model-driven hedging strategy
PSO-HMM
State-dependent hedging strategy
State identification
Online Access:http://www.sciencedirect.com/science/article/pii/S2214845022000618

Internet

http://www.sciencedirect.com/science/article/pii/S2214845022000618

Similar Items