Arbitrage Trading Strategy in Gold Futures

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

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.

• Item Type: MPRA Paper
• Commentary on: Bell, Peter N (2013): New Testing Procedures to Assess Market Efficiency with Trading Rules.
• Language: English
• Keywords: Finance; Gold
• Subjects: C - Mathematical and Quantitative Methods > C0 - General; C - Mathematical and Quantitative Methods > C0 - General > C00 - General

References

Bell, Peter N (2013): New Testing Procedures to Assess Market Efficiency with Trading Rules. MPRA Paper 46701, University Library of Munich, Germany. Retrieved from https://mpra.ub.uni-muenchen.de/46701/

Bell, Peter N (2019): And to think that it's in the gold price, of all things! #GoldAu. Accessed 21 Sep 2019. https://ceo.ca/@Newton/and-to-think-that-its-in-the-gold-price-of-all-things-goldau

Hasanhodzic, J., Lo, A., & Viola, E. (2011) A computational view of market efficiency, Quantitative Finance, 2011, vol. 11, issue 7, 1043-1050.

Manly, Ronan (2019). Rothschild emerges from the shadows for the Centenary of the London Gold Fixing. BULLIONSTAR.COM. Accessed 16 Sep 2019 https://www.bullionstar.com/blogs/ronan-manly/rothschild-emerges-from-the-shadows-for-the-centenary-of-the-london-gold-fixing/