Short-term return-based contrarian profits in international interest-rate futures markets : 1990-2002
In this paper, we document short-term return reversal patterns in international interest rate futures and the profitability of short-term return-based contrarian strategies. Daily open and settlement prices from 1990 to 2002 for 33 interest rate futures contracts trading in 12 futures exchanges and...
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Main Authors: | , , |
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Format: | Final Year Project |
Published: |
2008
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Online Access: | http://hdl.handle.net/10356/8871 |
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Institution: | Nanyang Technological University |
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