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I think this is a good idea; instead of if I'd ask: to what degree though. Futures prices reflect a lot of factors, so naturally you will only see some correlation which will change over time and even over different expiries (e.g. due to different liquidity in the back months). My advice therefore: Make sure you understand how the markets work because you ...


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The approach you describe of looking at the valuation metrics in one period versus the returns in the next is similar to cross-sectional factor models, like Barra, or the Fama-Macbeth procedure. In these methods, instead of looking at the correlation, you do a cross-sectional regression of the returns (or excess returns or alpha) against whatever factors, ...


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Just keep in mind that Gaussian marginals with Gaussian copula is nothing more than the multivariate Gaussian distribution (details e.g. here). For t-marginals with t-copula (with the same degree of freedom) you get the multivariate t-distribution. Both multivariate distributions are characterized by their covariance matrix. The t-distribution has the ...


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You can express the Normal distribution by Sklar's Theorem in terms of Gaussian Marginals and Gaussian Copula as follows: $$F(x_1,...,x_n)=C(F(x_1),...,F(x_n))=C^{Gau}(N(x_1),...,N(x_n))$$ So the distribution equals the copula function with the respective inverse marginals as arguments. You can aswell combine any types of Copula and (continuous) different ...


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Recently I found a book on earnings trading but did not have time to read thoroughly. Trading on Corporate Earnings News - John Shon I also had spent some time to see earnings surprise effects and it is a quite interesting but not easy to use topic. There is certainly a jump if the estimates and announced earnings have a large mismatch but the magnitude ...


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Are you really interested in ranking different indicators, or do you just want to know how you should combine them to make the best predictor possible? Is there any reason you can't use several together? Correlation coefficients would certianly be a reasonable starting point for this. You have two obvious problems that come up if you do it this way: A ...



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