Munich Personal RePEc Archive

Arbitrage Trading Strategy in Gold Futures

Bell, Peter (2019): Arbitrage Trading Strategy in Gold Futures.

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Abstract

There appears to be an arbitrage trading strategy in the gold market where you are "long" gold overnight, between the London Fix each day. Holding gold price exposure in this way produced reliable profits between 2000 and 2010. In fact, these reliable profits resemble the returns seen with a theoretical example of an inefficient market where a Bollinger Band trading strategy extracts arbitrage profits from a price series with mean reversion.

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