Timing strategy performance in the crude oil futures market

摘要: Abstract The rewards to speculative trading in the crude oil futures market are assessed. For investors who adopt timing strategies that maximise their (iso-elastic) utility during each session, can be economically significant providing transaction costs small. Moreover, we able show via a decomposition of performance bulk this benefit is due ability predict realised volatility (that is, second moment). benefits derived from predicting other moments either require unrealistic levels skill (all odd moments) or an infeasible degree risk aversion (the fourth moment and higher even moments).