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The European Journal of Finance Volume 14, 2008 - Issue 6: FORECASTING FINANCIAL MARKETS
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Original Articles

Trading futures spread portfolios: applications of higher order and recurrent networks

Christian L. Dunis Centre for International Banking, Economics and Finance, Liverpool John Moores University, Liverpool, UK
,
Jason Laws Centre for International Banking, Economics and Finance, Liverpool John Moores University, Liverpool, UK
&
Ben Evans Centre for International Banking, Economics and Finance, Liverpool John Moores University, Liverpool, UKCorrespondence[email protected]
Pages 503-521 | Published online: 27 Aug 2008

Citations (15)

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Read on this site (3)

Beat Reber. (2014) Estimating the risk–return profile of new venture investments using a risk-neutral framework and ‘thick’ models. The European Journal of Finance 20:4, pages 341-360.
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Mark Cummins & Andrea Bucca. (2012) Quantitative spread trading on crude oil and refined products markets. Quantitative Finance 12:12, pages 1857-1875.
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Raphael Paschke & Marcel Prokopczuk. (2012) Investing in commodity futures markets: can pricing models help?. The European Journal of Finance 18:1, pages 59-87.
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Articles from other publishers (12)

Vitor Azevedo & Christopher Hoegner. (2022) Enhancing stock market anomalies with machine learning. Review of Quantitative Finance and Accounting 60:1, pages 195-230.
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Dongdong Lv, Dong Wang, Meizi Li & Yang Xiang. (2020) DNN models based on dimensionality reduction for stock trading. Intelligent Data Analysis 24:1, pages 19-45.
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Dongdong Lv, Shuhan Yuan, Meizi Li & Yang Xiang. (2019) An Empirical Study of Machine Learning Algorithms for Stock Daily Trading Strategy. Mathematical Problems in Engineering 2019, pages 1-30.
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Dongdong Lv, Zhenhua Huang, Meizi Li & Yang Xiang. (2019) Selection of the optimal trading model for stock investment in different industries. PLOS ONE 14:2, pages e0212137.
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Christopher Krauss. (2017) STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK. Journal of Economic Surveys 31:2, pages 513-545.
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Thorben Lubnau & Neda Todorova. (2015) Trading on mean-reversion in energy futures markets. Energy Economics 51, pages 312-319.
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Erhard Reschenhofer, Werner Ploberger & Georg V. Lehecka. (2012) Detecting fuzzy periodic patterns in futures spreads. Statistical Papers 55:2, pages 487-496.
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Carol Alexander, Marcel Prokopczuk & Anannit Sumawong. (2013) The (de)merits of minimum-variance hedging: Application to the crack spread. Energy Economics 36, pages 698-707.
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Christian L Dunis, Spiros D Likothanassis, Andreas S Karathanasopoulos, Georgios S Sermpinis & Konstantinos A Theofilatos. (2013) A hybrid genetic algorithm–support vector machine approach in the task of forecasting and trading. Journal of Asset Management 14:1, pages 52-71.
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Yu-Chia Hsu, An-Pin Chen & Jia-Haur Chang. (2011) An inter-market arbitrage trading system based on extended classifier systems. Expert Systems with Applications 38:4, pages 3784-3792.
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Vitor Azevedo & Christopher Hoegner. (2020) Enhancing Stock Market Anomalies with Machine Learning. SSRN Electronic Journal.
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Carol Alexander, Marcel Prokopczuk & Anannit Sumawong. (2012) The (De)Merits of Minimum-Variance Hedging: Application to the Crack Spread. SSRN Electronic Journal.
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