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Journal of Risk and Financial Management is published by MDPI from Volume 6 Issue 1 (2013). Articles in this Issue were published by another publisher in Open Access under a CC-BY (or CC-BY-NC-ND) licence. Articles are hosted by MDPI on mdpi.com as a courtesy and upon agreement with Prof. Dr. Raymond A. K. Cox and Prof. Dr. Alan Wong.
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J. Risk Financial Manag. 2010, 3(1), 63-96; https://doi.org/10.3390/jrfm3010063

Soybean Futures Crush Spread Arbitrage: Trading Strategies and Market Efficiency

Department of Finance and Law, 328 Sloan Hall, Central Michigan University, Mt. Pleasant, Michigan, 48859, USA
Published: 31 December 2010
View Full-Text   |   Download PDF [75 KB, uploaded 28 August 2013]

Abstract

This paper revisits the soybean crush spread arbitrage work of Simon (1999) by studying a longer time period, wider variety of entry and exit limits, and the risk-return relationship between entry and exit limits. The lengths of winning and losing trades are found to differ systematically, with winning trades significantly shorter on average than losing trades. Exiting trades near the 5- day moving average is shown to improve trade performance relative to a reversal of sign and magnitude from the entry spread. These results lead to trading rules designed to prevent lengthy trades; however, the profitability of trading rules is found to be unstable. View Full-Text
Keywords: Futures; spread; arbitrage; market efficiency; trading strategies Futures; spread; arbitrage; market efficiency; trading strategies
This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).
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Mitchell, J.B. Soybean Futures Crush Spread Arbitrage: Trading Strategies and Market Efficiency. J. Risk Financial Manag. 2010, 3, 63-96.

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