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Noisy chaotic dynamics in commodity markets

โœ Scribed by Catherine Kyrtsou; Walter C. Labys; Michel Terraza

Publisher
Springer-Verlag
Year
2004
Tongue
English
Weight
283 KB
Volume
29
Category
Article
ISSN
0377-7332

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## Abstract Commodity futures and equity markets differ in several important respects. Nevertheless, it was found that momentum profits in commodities are highly significant for holding periods as long as 9 months, and returns to momentum strategies are roughly equal in magnitude to those that have