A test of futures market disequilibrium using twelve different technical trading systems

Louis P. Lukac, B. Wade Brorsen, Scott H. Irwin

Research output: Contribution to journalArticle

Abstract

Trading of twelve technical systems is simulated for a portfolio of twelve commodities from 1978 to 1984 in order to test for market disequilibrium. Results differ substantially by trading system. Seven systems produced significant gross returns. Four of the twelve trading systems produced significant net returns and significant risk-adjusted returns. These results show that disequilibrium models are a better description of short-run futures price movements than the random walk model. They also suggest that there may be additional causes of disequilibrium beyond transaction costs and risk aversion.

Original languageEnglish (US)
Pages (from-to)623-639
Number of pages17
JournalApplied Economics
Volume20
Issue number5
DOIs
StatePublished - May 1988

ASJC Scopus subject areas

  • Economics and Econometrics

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