Tracking speculative trading

Boos, Dominik; Grob, Linus

doi:10.1016/j.finmar.2022.100774

Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-26934

Publication type:	Article in scientific journal
Type of review:	Peer review (publication)
Title:	Tracking speculative trading
Authors:	Boos, Dominik Grob, Linus
et. al:	No
DOI:	10.1016/j.finmar.2022.100774 10.21256/zhaw-26934
Published in:	Journal of Financial Markets
Volume(Issue):	64
Issue:	100774
Issue Date:	2023
Publisher / Ed. Institution:	Elsevier
ISSN:	1386-4181
Language:	English
Subjects:	Hedge fund; Trader commitment; Commodity futures market; Momentum; Trend-following; Ridge regression
Subject (DDC):	332.6: Investment
Abstract:	Managed futures funds are predominantly trend-followers. By analyzing positioning data, we provide novel evidence for this claim and estimate signals applied by these funds. We write trend-followers aggregate position as a weighted sum of past daily returns and use a generalized ridge regression for regularization and parameter estimation. This procedure prevents overfitting but remains flexible enough to capture various patterns. For the 23 commodities considered, trend-following can explain speculators’ position changes with an average of more than 40%. Finally, we document that producers act as contrarians in a way that closely mirrors the behavior of momentum traders.
URI:	https://digitalcollection.zhaw.ch/handle/11475/26934
Fulltext version:	Published version
License (according to publishing contract):	CC BY 4.0: Attribution 4.0 International
Departement:	School of Management and Law
Organisational Unit:	Institute of Wealth & Asset Management (IWA)
Appears in collections:	Publikationen School of Management and Law

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Boos, D., & Grob, L. (2023). Tracking speculative trading. Journal of Financial Markets, 64(100774). https://doi.org/10.1016/j.finmar.2022.100774

Boos, D. and Grob, L. (2023) ‘Tracking speculative trading’, Journal of Financial Markets, 64(100774). Available at: https://doi.org/10.1016/j.finmar.2022.100774.

D. Boos and L. Grob, “Tracking speculative trading,” Journal of Financial Markets, vol. 64, no. 100774, 2023, doi: 10.1016/j.finmar.2022.100774.

BOOS, Dominik und Linus GROB, 2023. Tracking speculative trading. Journal of Financial Markets. 2023. Bd. 64, Nr. 100774. DOI 10.1016/j.finmar.2022.100774

Boos, Dominik, and Linus Grob. 2023. “Tracking Speculative Trading.” Journal of Financial Markets 64 (100774). https://doi.org/10.1016/j.finmar.2022.100774.

Boos, Dominik, and Linus Grob. “Tracking Speculative Trading.” Journal of Financial Markets, vol. 64, no. 100774, 2023, https://doi.org/10.1016/j.finmar.2022.100774.