In this study, the profitability of different pairs selection and spread trading methods are compared using the complete dataset of commodity futures from Dalian Commodity Exchange (DCE), Shanghai Futures Exchange (SHFE) and Zhengzhou Commodity Exchange (CZCE). Pairs trading methods that are...

In this study, the fundamental empirical characteristics of the Chinese futures markets, which includes all the liquid financial and commodity futures traded in mainland China, are analyzed at different time scales. The comprehensive results for the whole range of products provide valuable...

This paper tests a wide range of momentum and reversal strategies at different trading frequencies for the complete Chinese commodity futures market dataset. Accurate estimates of transaction costs for each commodity and the minute level futures prices are utilized to obtain the most realistic...