J. Risk Financial Manag. 2010, 3(1), 63-96; doi:10.3390/jrfm3010063
Article

Soybean Futures Crush Spread Arbitrage: Trading Strategies and Market Efficiency

email
Published: 31 December 2010
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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.
Keywords: Futures; spread; arbitrage; market efficiency; trading strategies
PDF Full-text Download PDF Full-Text [75 KB, uploaded 28 August 2013 17:05 CEST]

Export to BibTeX |
EndNote


MDPI and ACS Style

Mitchell, J.B. Soybean Futures Crush Spread Arbitrage: Trading Strategies and Market Efficiency. J. Risk Financial Manag. 2010, 3, 63-96.

AMA Style

Mitchell JB. Soybean Futures Crush Spread Arbitrage: Trading Strategies and Market Efficiency. Journal of Risk and Financial Management. 2010; 3(1):63-96.

Chicago/Turabian Style

Mitchell, John B. 2010. "Soybean Futures Crush Spread Arbitrage: Trading Strategies and Market Efficiency." J. Risk Financial Manag. 3, no. 1: 63-96.

J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert