发表状态 | 已发表Published |
题名 | Investigating the profit performance of quantitative timing trading strategies in the Shanghai copper futures market, 2020–2022 |
作者 | |
发表日期 | 2024-12-01 |
发表期刊 | International Studies of Economics
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ISSN/eISSN | 2831-3224 |
卷号 | 19期号:4页码:589-616 |
摘要 | In conducting an extensive examination, we scrutinize the efficacy of algorithmic trading strategies applied to Futures CopperMainContinuous in the Shanghai Futures Exchange, utilizing a comprehensive data set spanning from January 2020 to December 2022. To mitigate the potential risk of data-snooping bias—the probability that any favorable results may inadvertently arise from random events rather than the inherent value of the strategies employed to generate these results—our study prudently conducts a reality check and advanced assessments. Throughout the evaluated period, the benchmark demarcation between the in-sample and out-of-sample stages is established in February 2022. Regrettably, our meticulous exploration fails to identify any successful or advantageous algorithmic trading strategies within these categories, particularly following the systematic elimination of data snooping bias. These results underscore the intrinsic challenges in accurately identifying and implementing profit-generating algorithmic trading strategies within the volatile and intricate futures market. |
关键词 | futures market technical trading |
DOI | 10.1002/ise3.87 |
URL | 查看来源 |
收录类别 | ESCI |
语种 | 英语English |
WOS研究方向 | Business & Economics |
WOS类目 | Economics |
WOS记录号 | WOS:001279759100001 |
Scopus入藏号 | 2-s2.0-85199999952 |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | https://repository.uic.edu.cn/handle/39GCC9TT/12568 |
专题 | 北师香港浸会大学 |
通讯作者 | Tian, Hongyu |
作者单位 | 1.Beijing Normal University—Hong Kong Baptist University United International College,Zhuhai City,China 2.UQ Business School,University of Queensland,Australia 3.HKU Business School,The University of Hong Kong,Hong Kong,China 4.School of Business and Law,Central Queensland University,Australia |
第一作者单位 | 北师香港浸会大学 |
通讯作者单位 | 北师香港浸会大学 |
推荐引用方式 GB/T 7714 | Tian, Hongyu,Wang, Wei,Yang, Mengxinet al. Investigating the profit performance of quantitative timing trading strategies in the Shanghai copper futures market, 2020–2022[J]. International Studies of Economics, 2024, 19(4): 589-616. |
APA | Tian, Hongyu, Wang, Wei, Yang, Mengxin, & Yilmaz, Ali. (2024). Investigating the profit performance of quantitative timing trading strategies in the Shanghai copper futures market, 2020–2022. International Studies of Economics, 19(4), 589-616. |
MLA | Tian, Hongyu,et al."Investigating the profit performance of quantitative timing trading strategies in the Shanghai copper futures market, 2020–2022". International Studies of Economics 19.4(2024): 589-616. |
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