The soybean crush spread: Empirical evidence and trading strategies
David P. Simon
Journal of Futures Markets, 1999, vol. 19, issue 3, 271-289
This article finds that deviations of the soybean crush spread from its long‐run equilibrium were transitory during the sample period from January 1985 through February 1995. This equilibrium is characterized by strong seasonality and by a persistent uptrend in soymeal and soyoil prices relative to soybean prices. A tendency also exists for the crush spread to revert toward its most recent 5‐day average. Simulations demonstrate that trading rules based on these results would have been profitable. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 271–289, 1999
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