26 Xianning W Rd.
Suzhou, Jiangsu 215123
China
Xi'an Jiaotong University (XJTU)
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Commodity Futures, Pairs Trading, Statistical Arbitrage, Market Efficiency
Chinese commodity futures market, Momentum, Reversal, Single- and Double-sort strategies, Inter- and Intra-day frequencies
Futures Markets; Commodity Futures; High-Frequency Returns; Stylized Facts
Statistical arbitrage, Jump-diffusion model, Compound Poisson process, Monte Carlo simulation
Variance-gamma model, Normal-inverse gaussian model, Generalized hyperbolic model, Heston model, Markov regime-switching model, Emerging markets
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