Assessing the vulnerability to price spikes in agricultural commodity markets

We empirically examine the predictability of the conditions which are associated with a higher probability of a price spike in agricultural commodity markets. We find that the forward spread is the most significant indicator of probable price jumps in maize, wheat and soybeans futures markets, a result which is in line with the “Theory of Storage”. We additionally show that some option-implied variables add significant predictive power when added to the more standard information variable set. Overall, the estimated probabilities of large price increases from our probit models exhibit significant correlations with the historical sudden market upheavals in agricultural markets

Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias

In the finance literature, statistical inferences for large-scale testing problems usually suffer from data snooping bias. In this paper we extend the "superior predictive ability" (SPA) test of Hansen (2005, JBES) to a stepwise SPA test that can identify predictive models without potential data snooping bias. It is shown analytically and by simulations that the stepwise SPA test is more powerful than the stepwise Reality Check test of Romano and Wolf (2005, Econometrica). We then apply the proposed test to examine the predictive ability of technical trading rules based on the data of growth and emerging market indices and their exchange traded funds (ETFs). It is found that technical trading rules have significant predictive power for these markets, yet such evidence weakens after the ETFs are introduced. © 2009.preprin

A Combined Signal Approach To Technical Analysis On The S&P 500

This paper examines the effectiveness of nine technical trading rules on the S&P 500 from January 1950 to March 2008 (14,646 daily observations).  The annualized returns from each trading rule are compared to a naïve buy-and-hold strategy to determine profitability. Over the 59 year period, only the moving-average cross-over (1,200) and (5,150) trading rules were able to outperform the buy-and-hold trading strategy after adjusting for transaction costs. However, excess returns were generated by employing a Combined Signal Approach (CSA) on the individual trading rules. Statistical significance was confirmed through bootstrap simulations and robustness through sub-period analysis.&nbsp