Detecting fuzzy periodic patterns in futures spreads

Erhard Reschenhofer; Werner Ploberger; Georg V. Lehecka

doi:10.1007/s00362-012-0493-7

Detecting fuzzy periodic patterns in futures spreads

Erhard Reschenhofer
, Werner Ploberger
, Georg V. Lehecka

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

This paper extends an optimal frequency domain test for the detection of synchronous patterns in multiple time series to the case of fuzzy patterns, which are not confined to single frequencies or narrow frequency bands. Applying this extension to corn futures with different delivery dates, we obtain significant results only for the spreads between the different contracts but not for the original contracts, which is an indication that spread trading has the advantage of increased predictability.

Original language	English
Pages (from-to)	487-496
Number of pages	10
Journal	Statistical Papers
Volume	55
Issue number	2
DOIs	https://doi.org/10.1007/s00362-012-0493-7
State	Published - May 2014

Keywords

Frequency-domain test
Nonsinusoidality
Predictability
Synchronous pattern

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10.1007/s00362-012-0493-7

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title = "Detecting fuzzy periodic patterns in futures spreads",

abstract = "This paper extends an optimal frequency domain test for the detection of synchronous patterns in multiple time series to the case of fuzzy patterns, which are not confined to single frequencies or narrow frequency bands. Applying this extension to corn futures with different delivery dates, we obtain significant results only for the spreads between the different contracts but not for the original contracts, which is an indication that spread trading has the advantage of increased predictability.",

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AU - Ploberger, Werner

AU - Lehecka, Georg V.

PY - 2014/5

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N2 - This paper extends an optimal frequency domain test for the detection of synchronous patterns in multiple time series to the case of fuzzy patterns, which are not confined to single frequencies or narrow frequency bands. Applying this extension to corn futures with different delivery dates, we obtain significant results only for the spreads between the different contracts but not for the original contracts, which is an indication that spread trading has the advantage of increased predictability.

AB - This paper extends an optimal frequency domain test for the detection of synchronous patterns in multiple time series to the case of fuzzy patterns, which are not confined to single frequencies or narrow frequency bands. Applying this extension to corn futures with different delivery dates, we obtain significant results only for the spreads between the different contracts but not for the original contracts, which is an indication that spread trading has the advantage of increased predictability.

KW - Frequency-domain test

KW - Nonsinusoidality

KW - Predictability

KW - Synchronous pattern

UR - https://www.scopus.com/pages/publications/84897578205

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DO - 10.1007/s00362-012-0493-7

M3 - Article

AN - SCOPUS:84897578205

SN - 0932-5026

VL - 55

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EP - 496

JO - Statistical Papers

JF - Statistical Papers

IS - 2

ER -

Detecting fuzzy periodic patterns in futures spreads

Abstract

Keywords

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