Adaptive trading rules for commodity futures

Terrence F Martell

Omega, 1976, vol. 4, issue 4, 407-416

Abstract: This paper extends and refines an adaptive filtering model utilizing entropy-based decision rules. The initial adaptive model chose filter sizes by considering both current profitability and previous forecasting success, where forecasting success is measured by a statistic derived from information theory. Alternative specifications of the historical information vector are employed to examine the sensitivity of various components of the model. Although the original adaptive model was a substantial improvement over existing models, it lacked stability; that is, there was more stability in the underlying information of the process than there was in the net profits produced by the adaptive model. Hence this further study. The information-based adaptive model we developed was run on a large data base composed of 15 years of soybean and wheat data. Our results allow us to reject the Martingale hypothesis of commodity price movement.

Date: 1976
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0305-0483(76)90114-6
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jomega:v:4:y:1976:i:4:p:407-416

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Omega is currently edited by B. Lev

More articles in Omega from Elsevier
Bibliographic data for series maintained by Catherine Liu ().