Detecting fuzzy periodic patterns in futures spreads

Erhard Reschenhofer (), Werner Ploberger and Georg Lehecka

Statistical Papers, 2014, vol. 55, issue 2, 487-496

Abstract: This paper extends an optimal frequency domain test for the detection of synchronous patterns in multiple time series to the case of fuzzy patterns, which are not confined to single frequencies or narrow frequency bands. Applying this extension to corn futures with different delivery dates, we obtain significant results only for the spreads between the different contracts but not for the original contracts, which is an indication that spread trading has the advantage of increased predictability. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Frequency-domain test; Synchronous pattern; Nonsinusoidality; Predictability; 62G10; 62M15; 62P20 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/s00362-012-0493-7 (text/html)
Access to full text is restricted to subscribers.

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:spr:stpapr:v:55:y:2014:i:2:p:487-496

Ordering information: This journal article can be ordered from
http://www.springer. ... business/journal/362

DOI: 10.1007/s00362-012-0493-7

Access Statistics for this article

Statistical Papers is currently edited by C. Müller, W. Krämer and W.G. Müller

More articles in Statistical Papers from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().