Quantitative spread trading on crude oil and refined products markets

摘要

Quantitative trading in oil-based markets is investigated over 2003-2010, with a focus on WTI, Brent, heating oil and gas oil. A total of 861 spreads are considered. A novel optimal statistical arbitrage trading model is applied, with generalised stepwise procedures controlling for data snooping bias. Aggregating upward and downward mean-reversion, profitable strategies are identified with Sharpe ratios greater than 2 in many instances. For the top categories, average daily returns range from 0.07 to 0.55%, with trade lengths of 9-55 days. A collapse in the number of profitable trading strategies is seen in 2008. Robustness to varying transactions costs is examined.View full textDownload full textKeywordsEconometrics, Energy derivatives, Trading systems, Quantitative trading strategiesJEL Classification:C1, C5, C6, C12, C52, C63Related var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/14697688.2012.715749