Momentum in commodities
12 papers on momentum in commodities as a systematic trading strategy. Momentum papers on commodity futures, energy, metals, agriculture: 12 of the 289 in momentum and trend following. The most cited is Momentum Strategies in Commodity Futures Markets (2005).
Papers122005–2026
Share of the family4 %12 of 289
| cited by | method | ||
|---|---|---|---|
| Momentum Strategies in Commodity Futures Markets by Miffre and Rallis | 57 | 2005 | |
| Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection by Wood et al. | 25 | Neural networks | 2021 |
| Crowding and Factor Returns by Kang et al. | 14 | 2021 | |
| Commodity Sectors and Factor Investment Strategies by Nakagawa and Sakemoto | 2 | 2023 | |
| Intraday Momentum and Return Predictability: Evidence from the Crude Oil Market by Wen et al. | 1 | 2020 | |
| Cross-Asset Momentum Spillover from Commodities to Sector Equities via Granger Causality by Arora | 0 | Classical time series | 2026 |
| Dual Momentum Allocation Between Physical Gold and Bitcoin (Digital Gold) by Vojtko and Dujava | 0 | 2026 | |
| Commodity Trading Strategies, Common Mistakes, and Catastrophic Blowups: A Presentation by Till | 0 | 2025 | |
| Predicting Commodity Returns: Time Series vs. Cross Sectional Prediction Models by Angelidis et al. | 0 | 2025 | |
| Do Commodity Factors Work as Inflation Hedges and Safe Havens? by Nakagawa and Sakemoto | 0 | 2023 | |
| Commodity Momentum Decomposition by Iwanaga and Sakemoto | 0 | 2022 | |
| On the Profitability of Momentum Strategies and Optimal Leverage Rules | 2020 |
Papers on momentum in commodities from other families
5 papers| filed under | ||
|---|---|---|
| Crude oil arbitrage and momentum trading strategies with targeting volatility by using Large Language Models by Garmash | News sentiment and text signals | 2026 |
| Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors by Guidolin and Pedio | Macro signals and regime strategies | 2018 |
| Momentum and Reversal Strategies in Chinese Commodity Futures Markets by Yang et al. | Short-term reversal | 2017 |
| Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns by Bakshi et al. | Carry trade | 2015 |
| A Better Specified Asset Pricing Model to Explain the Cross-Section and Time-Series of Commodity Returns by Bakshi et al. | Carry trade | 2013 |