This report examines two trading strategies on crude oil futures contracts by
employing four time series models. Using daily prices of crude oil futures contracts in
recent two years, we found that those models with better predictive ability will generate
more profitable opportunities with lower risk from the result of simulated trading process.
However, the two trading strategies associated with different models perform completely
different. The empirical reasoning for the performance of different model-strategies is
discussed, as well as applying the appropriate models and strategies in different markets.
This work helps the research and development in statistical trading strategies / text
| Identifer | oai:union.ndltd.org:UTEXAS/oai:repositories.lib.utexas.edu:2152/ETD-UT-2012-08-4323 |
| Date | 14 December 2012 |
| Creators | Meng, Qingchao |
| Source Sets | University of Texas |
| Language | English |
| Detected Language | English |
| Type | thesis |
| Format | application/pdf |
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