Quantitative trading in oil-based markets is investigated over 2003--2010, with a focus on WTI, Brent, heating oil and gas oil. A total of 861 spreads are considered. A novel optimal statistical arbitrage trading model is applied, with generalised stepwise procedures controlling for data...

An investigation into exchange-traded fund (ETF) outperformance during the period 2008–2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and...

We use ultra high frequency (trade by trade) data to demonstrate that equity price clustering and pricing predictability around psychologically important prices in Greece switches away from drachma-focused with the introduction of the euro, but does not immediately switch to euro-clustering. The...

The pricing of European emissions allowances (EUAs) is complicated by the market being driven by not just financial and economic factors, but also the harder-to-gauge uncertain influences of politics and policy. Drawing on a well-established literature showing sentiment to play an expanded role...

The informational fl ow between oil and spot freight markets is examined in a novel way via the time charter equivalent (TCE) to identify statistical arbitrage trading opportunities. Using Brent and TD3 data, synthetic floating storage positions are constructed, which are shown to be...

Within the field of empirical finance, the econometric analysis of markets commonly suffers from the well established problem of data snooping bias, whereby there is a likelihood that statistically significant results may be identified by pure random chance alone. This is the multiple...