Publicação
Evaluating time-series momentum against machine learning in commodity futures using multi-horizon and term-structure signals
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | |
| dc.contributor.advisor | Hirschey, Nicholas | |
| dc.contributor.author | Bumann, Ben Lou | |
| dc.date.accessioned | 2026-05-28T14:56:01Z | |
| dc.date.available | 2026-05-28T14:56:01Z | |
| dc.date.issued | 2026-01-22 | |
| dc.date.submitted | 2025-12-29 | |
| dc.description.abstract | This thesis replicates the Moskowitz, Ooi, and Pedersen (2012) time-series momentum strategy in commodities, confirming strong pre-2009 performance and weaker results thereafter. Using a walk-forward backtest, it evaluates machine learning predictions based on individual lagged returns and compares linear and nonlinear models. Models using individual lags outperform TSMOM, with linear models performing best, while nonlinearities and interactions add no value. Time-series strategies based on fixed probability thresholds perform poorly, possibly due to miscalibration and limited directional forecasting ability. Adding term-structure and factor features improves Sharpe and accuracy, but gains are largely explained by factor exposure. | eng |
| dc.identifier.tid | 204242452 | |
| dc.identifier.uri | http://hdl.handle.net/10362/203552 | |
| dc.language.iso | eng | |
| dc.relation | UID/00124/2025 | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.subject | Time-series momentum | |
| dc.subject | Commodity futures | |
| dc.subject | Machine learning | |
| dc.subject | Random forest | |
| dc.subject | XGBoost | |
| dc.subject | Logistic regression | |
| dc.subject | Term structure | |
| dc.subject | Basis | |
| dc.subject | Basis momentum | |
| dc.subject | Skewness | |
| dc.subject | SHAP interpretability | |
| dc.title | Evaluating time-series momentum against machine learning in commodity futures using multi-horizon and term-structure signals | eng |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Master’s degree in Business Analytics from the Nova School of Business and Economics |