Quantitative strategy for the Chinese commodity futures market based on a dynamic weighted money flow model

Cheng, Ya; Qiu, Yanjun; Guo-hao, LU; Hou, Yufei

doi:10.1016/j.physa.2018.08.104

Cited by 7 publications

(2 citation statements)

References 26 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…However, farmers are reluctant to take out loans because the disbursement procedure is cumbersome and time-consuming (Supardi and Saerang, 2018). Therefore, they purchase their inputs on the open market at double prices (Ye et al, 2018).…”

Section: Literature Reviewmentioning

confidence: 99%

RETRACTED: Green finance, green energy, and green revolution: An impulse response function of food security in developing economies

Huan¹,

Sun²,

Ali³

et al. 2022

Front. Environ. Sci.

View full text Add to dashboard Cite

Recently, it has been observed that fossil fuel utilization increased to manage the issue of food insecurity; however, it has increased the risk of environmental degradation and land availability. Therefore, the role of a farmer is to ensure food security (FS). With the assistance of the green revolution (GR), green finance (GF) and green energy have increased manifold. For this purpose, the current study utilized a time-series dataset between 2071 and 2019 to evaluate the relationship between green finance, green energy, and the green revolution with food security. This objective has been considered with modern econometric methods, including the Johansen cointegration model and impulse response. As a result, the Johansen model affirmed cointegration between the green revolution, green finance, and green energy with food security. According to the results, food security will rise by 0.17%, 2.05%, 0.006%, and 0.023%, with a 1% increase in fossil fuel utilization, green finance, improved seeds, and water availability, respectively. Furthermore, based on the diagnostic statistics, the Johansen model’s credibility, stability, and reliability were corrected. In light of these findings and the impulse response function, all relevant factors will favor future food security. Finally, this study suggested that the public and commercial sectors should invest significantly in R&D to produce organic chemicals and agricultural methods that preserve soil fertility and reduce environmental degradation.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

RETRACTED: Green finance, green energy, and green revolution: An impulse response function of food security in developing economies

Huan¹,

Sun²,

Ali³

et al. 2022

Front. Environ. Sci.

View full text Add to dashboard Cite

show abstract

“…In the low-frequency quantitative trading, the frequently selected quantitative strategy is the double average strategy [9,10]. Specifically, this strategy is to buy a stock when its average price in a relatively short period of time is greater than its average price in a relatively long period of time.…”

Section: Introductionmentioning

confidence: 99%

The analysis of double average strategy for Chinese famous liquor stocks Evidence from the MA5-MA10 and the MA-MA20 strategy

Ling¹

2023

BCPBM

View full text Add to dashboard Cite

Contemporarily, various of quantitative strategy are implemented in financial market worldwide. In this paper, the suitability and performance of the two mean average strategy is evaluated based on multiple underlying assets in Chinese market. To be specific, the five-day and ten-day double average strategy or ten-day and twenty-day double average strategy are analysed. With the help of Tushare and PyCharm, this paper simulates quantitative trading of five well-known liquor stocks, including Kweichow Moutai, Wuliangye, Yanghe, Luzhou Laojiao and Shanxi Fenjiu, in a fixed period of time using strategies mentioned above. Afterwards, the performances are compared based on various indicators including annual returns and Sharpe ratios. According to the analysis, in the investment of well-known liquor stocks, the research of this paper can better help investors choose the right trading strategy has better performance than the other one as it can obtain more investment returns. These results shed light on guiding further exploration on quantitative strategy design for stock market.

show abstract

Multifractal risk measures by Macroeconophysics perspective: The case of Brazilian inflation dynamics

Fernandes

Silva

Araujo

2022

Chaos, Solitons & Fractals

View full text Add to dashboard Cite

Quantitative strategy for the Chinese commodity futures market based on a dynamic weighted money flow model

Cited by 7 publications

References 26 publications

RETRACTED: Green finance, green energy, and green revolution: An impulse response function of food security in developing economies

RETRACTED: Green finance, green energy, and green revolution: An impulse response function of food security in developing economies

The analysis of double average strategy for Chinese famous liquor stocks Evidence from the MA5-MA10 and the MA-MA20 strategy

Multifractal risk measures by Macroeconophysics perspective: The case of Brazilian inflation dynamics

Contact Info

Product

Resources

About