Long memory and crude oil's price predictability

DOI10.1007/s10479-019-03376-yzbMath1476.91142OpenAlexW2974491988WikidataQ127225932 ScholiaQ127225932MaRDI QIDQ2241099

Viviana Fanelli, Roy Cerqueti

Publication date: 8 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://openresearch.lsbu.ac.uk/download/2a56af0d9bb30e1e20165a75697f4d66de56ae443ee6d005b0a9482e34495c4d/1690134/ANOR-D-19-00357_R1.pdf

zbMATH Keywords

statistical arbitragecommodities portfolioHurst's exponentprice predictability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (3)

Persistence in complex systems ⋮ On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach ⋮ Fuzzy clustering of time series with time-varying memory

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• Statistical arbitrage in the US equities market
• Multilevel Monte Carlo Path Simulation
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Pairs trading

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