Mean reversion of the soybean crush spread: A new model and trading strategies

Hussein Abdoh and Michael Chitavi

International Review of Economics & Finance, 2025, vol. 101, issue C

Abstract: The U.S. Department of Agriculture (USDA) reports have long provided vital information influencing commodity prices. However, no study has examined how intraday deviations of soybean products from the processing relationship reflected in USDA estimates affect the soybean crush spread. We introduce a new market-based measure that captures these deviations in the short term. They significantly explain transitory movements in the crush spread, temporarily departing from its long-run equilibrium. Our simulations demonstrate that trading strategies based on these findings would have been profitable, even after accounting for transaction costs. This analysis is based on 8650 trading days from September 1990 to May 2021.

Keywords: Gross crush margin (GCM); Soybean; Mean reversion; USDA; Intraday data; Soymeal; Soyoil (search for similar items in EconPapers)
JEL-codes: G11 Q10 Q14 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056025003491
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:reveco:v:101:y:2025:i:c:s1059056025003491

DOI: 10.1016/j.iref.2025.104186

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().