A5065249932- Market Dynamics and Volatility
- Financial Markets and Investment Strategies
- Complex Systems and Time Series Analysis
- Chinese history and philosophy
- Monetary Policy and Economic Impact
- Advanced Thermodynamics and Statistical Mechanics
- Sustainable Industrial Ecology
Curtin University
2023-2024
Griffith University
2019-2021
Nantong University
2005-2011
Guizhou Normal University
2010
Abstract We investigate the behavior of commodity futures risk premia in China. In presence retail‐dominance and barriers‐to‐entry, term structure momentum remain persistent, whereas hedging pressure, skewness, volatility, liquidity are distorted by time‐varying margins strict position limits. Furthermore, open interest, currency, inflation sensitive to institutional settings. The observed cannot be attributed common risks, sentiment, transactions costs, or data‐snooping, but related...
Abstract We examine the role of risk management in context commodity factor premia. Stopping losses individual commodities effectively improves average returns long‐short premia through persistent reduction frequency and severity drawdowns. The magnitude improvement is related to quality signal, return volatility, autocorrelations, as well transaction costs. efficacy a stop‐loss strategy can be enhanced by dynamically calibrating loss thresholds accordance with realized it performs best high...
Enormous capital inflows into the emerging commodity futures markets in China raised concerns about impact of speculation. Using a broad sample 30 commodities across sectors, this paper investigates whether increased presence speculators recent years destabilizes market China. In portfolio framework, we find that speculation does not give rise to higher volatilities, elevate cross-market correlations, nor distort market’s association with economic fundamentals. Consistent literature,...
The Nelson-Siegel framework is employed to model the term structure of commodity futures prices. Exploiting information embedded in level, slope and curvature parameters, we develop novel investment strategies that assume short-term continuation recent parallel, or butterfly movements curves. Systematic based on change generate significant profits are unrelated previously documented risk factors can survive reasonable transaction costs. Further analysis demonstrates profitability strategy...