The DOI matches its Crossref record; 32 of the 33 references it cites were found in a registry or an index.
Can commodity futures be profitably traded with quantitative market timing strategies?
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“Despite these findings, there is no clear consensus on the predictability of technical trading rules in the literature, with many papers indicating that technical trading rules do not offer any predictive power, especially once transaction costs have been accounted for”
From Technical trading and cryptocurrencies (2021) · cites this paper as Marshall et al. 2008a,b
Citations
Cites
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
Politis, D. N., & Romano, J. P. (1994) · Journal of the American Statistical Association · doi:10.1080/01621459.1994.10476870 · Cited by 2,649
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
Engle, R. F., Lilien, D. M., & Robins, R. P. (1987) · Econometrica · doi:10.2307/1913242 · Cited by 2,469
Simple technical trading rules and the stochastic properties of stock returns
BROCK, W., LAKONISHOK, J., & LeBARON, B. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04681.x · Cited by 2,301
A Reality Check for Data Snooping
White, H. (2000) · Econometrica · doi:10.1111/1468-0262.00152 · Cited by 1,851
When Are Contrarian Profits Due to Stock Market Overreaction?
Lo, A. W., & MacKinlay, A. C. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.175 · Cited by 1,707
Fads, Martingales, and Market Efficiency
Lehmann, B. N. (1990) · The Quarterly Journal of Economics · doi:10.2307/2937816 · Cited by 1,643
A New Estimate of Transaction Costs
Lesmond, D. A., Ogden, J. P., & TRZCINKA, C. A. (1999) · Review of Financial Studies · doi:10.1093/rfs/12.5.1113 · Cited by 1,434
Facts and Fantasies about Commodity Futures
Gorton, G. B., & Rouwenhorst, K. G. (2006) · Financial Analysts Journal · doi:10.2469/faj.v62.n2.4083 · Cited by 1,384
Data-snooping, technical trading rule performance and the Bootstrap
Sullivan, R., Timmermann, A., & White, H. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00163 · Cited by 1,028
Research works printed but not linked: 1
- Irwin, 1997, A performance comparison of a technical trading system with ARIMA models for soybean complex prices, Advances in Investment Analysis and Portfolio Management, 4, 193
Cited by
Sorted by citations
Items 101–117 of 117
Liquidity timing skills for hedge funds
Luo, J. (2015) · Loughborough University Institutional Repository (Loughborough University)
Chemical Link Versus Industrial Link among Commodity FuturesPreprint
Chng, M. T. S. (2010) · SSRN Electronic Journal · doi:10.2139/ssrn.1549995
EUR/USD Intraday Volatility vs Trading Results and Market Efficiency
Wiśniewska, M. (2015) · Argumenta Oeconomica Cracoviensia · doi:10.15678/aoc.2015.1302
de filtragem em operações com contratos futuros de soja no brasil
de Souza, W. A. D. R., Otávio, R., & Ramos, J. (2013)
On commodity trading strategies: momentum, term structure, maturity, indexation
Rallis, G. (2010) · City Research Online (City University London)
An Examination of Alternative Trading Techniques Using Intraday EUR/USD Currency Prices
Vaughters, B. (2018) · Digital Commons (Liberty University)
A stepwise Wilcoxon signed-rank test and technical analysis in foreign exchange marketPreprint
Yamamoto, R., Zhu, H., & Xiao, X. (2021) · SSRN Electronic Journal · doi:10.2139/ssrn.3863084
(2019) · Emerald Group Publishing Limited eBooks · doi:10.1108/978-1-78973-063-020191012
Kakushadze, Z., & Serur, J. A. (2018) · Springer eBooks · doi:10.1007/978-3-030-02792-6_9
Tsinaslanidis, P. E., & Zapranis, A. D. (2015) · Springer eBooks · doi:10.1007/978-3-319-23636-0_1
Tsinaslanidis, P. E., & Zapranis, A. D. (2015) · Springer eBooks · doi:10.1007/978-3-319-23636-0_4
Tsinaslanidis, P. E., & Zapranis, A. D. (2015) · Springer eBooks · doi:10.1007/978-3-319-23636-0_7
Optimizing Commodity Futures Trading in the Financial Market: Fine-tuning Bollinger Bands Strategy
Willfred Syril, M., & Devi, N. C. (2025) · Global Business Review · doi:10.1177/09721509251328555
The Performance of Momentum Trading Strategies in the U.S. Natural Gas Futures
Gurrib, I., Hamdan, D., & Starkova, O. (2025) · Springer eBooks · doi:10.1007/978-981-96-6998-1_8
Predicting Commodity Returns Through Image‐Based Price Patterns
Hao, T., Liu, Q., Miao, D., & Tse, Y. (2025) · Journal of Futures Markets · doi:10.1002/fut.70043
Expected skewness, forecast combination, and commodity futures returns
Yang, H., Cai, J. P., Frijns, B., & Webb, R. I. (2026) · Pacific-Basin Finance Journal · doi:10.1016/j.pacfin.2026.103153
Metadata
- Authors
- Marshall, B. R., Cahan, R. H., & Cahan, J. M.
- Affiliations
- Massey University (NZ)
- Corresponding author
- Marshall, Ben R.
- ORCID
- Marshall, Ben R.
- Venue
- Journal of Banking & Finance
- Publisher
- Elsevier BV
- Published
- 2008-09
- Volume
- 32
- Issue
- 9
- Pages
- 1810-1819
- ISSN
- 0378-4266 (ISSN-L)
- OpenAlex
- W3123631543
- Cited by
- 118
- References
- 33
- Citations by year
- 2026: 2 · 2025: 4 · 2024: 2 · 2023: 4 · 2022: 2 · 2021: 10 · 2020: 4 · 2019: 6 · 2018: 9 · 2017: 7 · 2016: 6 · 2015: 17 · 2014: 10 · 2013: 10 · 2012: 7
- FWCI
- 7.10
- Type
- journal article
- Language
- en
- Open access
- green
- doi.org
- Locations
- Journal of Banking & Finance (publishedVersion)
- SSRN Electronic Journal (acceptedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Decision Sciences › Management Science and Operations Research › Stock Market Forecasting Methods
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
- Keywords
- commodity futures, trading rules, data snooping bias, bootstrapping, random walk hypothesis
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