Metals futures market: A comparative analysis of investment and arbitrage strategies

Metals futures market: A comparative analysis of investment and arbitrage strategies

The article deals with the application of optimal portfolio theory and pair trading theory on the metals futures market. Advantages of the futures market over the spot market include relatively small initial price, low transaction costs, and high volatility. The main aim of the study is to explore t...

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Bibliographic Details
Main Authors: L. Guryanova, N. Chernova
Format: Article
Language:English
Published: Simon Kuznets Kharkiv National University of Economics 2020-01-01
Series:Управління розвитком
Subjects:
metals market
futures
risk
return
optimal portfolio
pairs trading
model
ratio
correlation
stationarity
Online Access:https://devma.com.ua/journals/t-17-4-2019/rinok-f-yuchersiv-na-metali-porivnyalny-analiz-strategiy-investuvannya-ta-arbitrazhu

Internet

https://devma.com.ua/journals/t-17-4-2019/rinok-f-yuchersiv-na-metali-porivnyalny-analiz-strategiy-investuvannya-ta-arbitrazhu

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