A Two-Regime Markov-Switching GARCH Active Trading Algorithm for Coffee, Cocoa, and Sugar Futures
In the present paper we tested the use of Markov-switching Generalized AutoRegressive Conditional Heteroscedasticity (MS-GARCH) models and their not generalized (MS-ARCH) version. This, for active trading decisions in the coffee, cocoa, and sugar future markets. With weekly data from 7 January 2000...
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| Published in | Mathematics (Basel) Vol. 8; no. 6; p. 1001 |
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| Main Authors | , , |
| Format | Journal Article |
| Language | English |
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Basel
MDPI AG
01.06.2020
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| ISSN | 2227-7390 2227-7390 |
| DOI | 10.3390/math8061001 |
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| Abstract | In the present paper we tested the use of Markov-switching Generalized AutoRegressive Conditional Heteroscedasticity (MS-GARCH) models and their not generalized (MS-ARCH) version. This, for active trading decisions in the coffee, cocoa, and sugar future markets. With weekly data from 7 January 2000 to 3 April 2020, we simulated the performance that a futures’ trader would have had, had she used the next trading algorithm: To invest in the security if the probability of being in a distress regime is less or equal to 50% or to invest in the U.S. three-month Treasury bill otherwise. Our results suggest that the use of t-student Markov Switching Component ARCH Model (MS-ARCH) models is appropriate for active trading in the cocoa futures and the Gaussian MS-GARCH is appropriate for sugar. For the specific case of the coffee market, we did not find evidence in favor of the use of MS-GARCH models. This is so by the fact that the trading algorithm led to inaccurate trading signs. Our results are of potential use for futures’ position traders or portfolio managers who want a quantitative trading algorithm for active trading in these commodity futures. |
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| AbstractList | In the present paper we tested the use of Markov-switching Generalized AutoRegressive Conditional Heteroscedasticity (MS-GARCH) models and their not generalized (MS-ARCH) version. This, for active trading decisions in the coffee, cocoa, and sugar future markets. With weekly data from 7 January 2000 to 3 April 2020, we simulated the performance that a futures’ trader would have had, had she used the next trading algorithm: To invest in the security if the probability of being in a distress regime is less or equal to 50% or to invest in the U.S. three-month Treasury bill otherwise. Our results suggest that the use of t-student Markov Switching Component ARCH Model (MS-ARCH) models is appropriate for active trading in the cocoa futures and the Gaussian MS-GARCH is appropriate for sugar. For the specific case of the coffee market, we did not find evidence in favor of the use of MS-GARCH models. This is so by the fact that the trading algorithm led to inaccurate trading signs. Our results are of potential use for futures’ position traders or portfolio managers who want a quantitative trading algorithm for active trading in these commodity futures. |
| Author | Aguilasocho-Montoya, Dora De la Torre-Torres, Oscar V. del Río-Rama, María de la Cruz |
| Author_xml | – sequence: 1 givenname: Oscar V. orcidid: 0000-0001-9281-974X surname: De la Torre-Torres fullname: De la Torre-Torres, Oscar V. – sequence: 2 givenname: Dora surname: Aguilasocho-Montoya fullname: Aguilasocho-Montoya, Dora – sequence: 3 givenname: María de la Cruz orcidid: 0000-0002-9396-9341 surname: del Río-Rama fullname: del Río-Rama, María de la Cruz |
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| Snippet | In the present paper we tested the use of Markov-switching Generalized AutoRegressive Conditional Heteroscedasticity (MS-GARCH) models and their not... |
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| SubjectTerms | Agricultural commodities Algorithms Autoregressive models Cocoa Coffee Commodity futures commodity futures’ trading computational finance Computer simulation financial market distress prediction Food science Hedging Investment policy Investments Markov chain Monte Carlo Markov-switching GARCH Probability Recessions Securities markets soft commodities Standard deviation Stochastic models Stock exchanges Switching Time series |
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| Title | A Two-Regime Markov-Switching GARCH Active Trading Algorithm for Coffee, Cocoa, and Sugar Futures |
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