基于偏度的商品期货月度多空策略

登录后收藏

学术论文

作为彩票的商品:偏度与商品期货收益

作者Adrián Fernández-Pérez; Bart Frijns; Ana-Marı́a Fuertes; Joëlle Miffre

机构
  • Auckland University of Technology
  • Open University of the Netherlands
  • Open University of the Netherlands - School of Management
  • City, University of London
  • Bayes Business School, City, University of London
  • Audencia Business School

本篇策略设有付费墙

付费套餐可解锁完整推导、交易规则、Python 与成交记录。策略库约 20% 保持免费。

投资标的:GLD、SLV、DBC、GSG、USO、UNG、DBA。再平衡:每月。Universe: GLD, SLV, DBC, GSG, USO, UNG, DBA. Parameters: rebalance=monthly.