全出典一覧

Tier 1: 学術・機関

  1. Park, C.H. and Irwin, S.H. “What Do We Know About the Profitability of Technical Analysis?”. Journal of Economic Surveys, 2007. https://ssrn.com/abstract=603481

  2. Szakmary, A.C., Shen, Q. and Sharma, S.C. “Trend-Following Trading Strategies in Commodity Futures: A Re-Examination”. Journal of Banking & Finance, 2010. https://doi.org/10.1016/j.jbankfin.2009.07.003

  3. Gorton, G.B., Hayashi, F. and Rouwenhorst, K.G. “The Fundamentals of Commodity Futures Returns”. NBER Working Paper No. 13249, 2007. https://www.nber.org/papers/w13249

  4. Gorton, G. and Rouwenhorst, K.G. “Facts and Fantasies about Commodity Futures”. Financial Analysts Journal, 2006. https://doi.org/10.2469/faj.v62.n2.4083

  5. Erb, C.B. and Harvey, C.R. “The Tactical and Strategic Value of Commodity Futures”. NBER Working Paper No. 11222, 2005. https://www.nber.org/papers/w11222

  6. Miffre, J. and Rallis, G. “Momentum Strategies in Commodity Futures Markets”. Journal of Banking & Finance, 2007. https://thehedgefundjournal.com/momentum-strategies-in-commodity-markets/

  7. Moskowitz, T.J., Ooi, Y.H. and Pedersen, L.H. “Time Series Momentum”. Journal of Financial Economics, 2012. https://ssrn.com/abstract=2515685

  8. Hurst, B., Ooi, Y.H. and Pedersen, L.H. “A Century of Evidence on Trend-Following Investing”. AQR Capital Management, 2017. https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf

  9. Li, Z. et al. “How good are different machine and deep learning models in forecasting commodity futures prices?”. Resources Policy, 2024. https://www.sciencedirect.com/science/article/pii/S0301420724004070

  10. “Introduction to Commodities and Commodity Derivatives”. CFA Institute. https://www.cfainstitute.org/insights/professional-learning/refresher-readings/2026/introduction-commodities-commodity-derivatives

  11. “Commitments of Traders”. U.S. Commodity Futures Trading Commission (CFTC). https://www.cftc.gov/MarketReports/CommitmentsofTraders/index.htm

  12. Kyle, A.S. “Continuous Auctions and Insider Trading”. Econometrica, 53(6), 1985. https://doi.org/10.2307/1913210

  13. Bollerslev, T. “Generalized Autoregressive Conditional Heteroskedasticity”. Journal of Econometrics, 31(3), 1986. https://doi.org/10.1016/0304-4076(86)90063-1

  14. Engle, R.F. and Granger, C.W.J. “Co-Integration and Error Correction: Representation, Estimation, and Testing”. Econometrica, 55(2), 1987. https://doi.org/10.2307/1913236

  15. Gatev, E., Goetzmann, W.N. and Rouwenhorst, K.G. “Pairs Trading: Performance of a Relative-Value Arbitrage Rule”. Review of Financial Studies, 19(3), 2006. https://doi.org/10.1093/rfs/hhj020

Tier 2: 業界専門メディア

  1. “Term Structure Effect in Commodities”. Quantpedia. https://quantpedia.com/strategies/term-structure-effect-in-commodities

  2. “Time Series Momentum Effect”. Quantpedia. https://quantpedia.com/strategies/time-series-momentum-effect

  3. “Momentum Effect in Commodities”. Quantpedia. https://quantpedia.com/strategies/momentum-effect-in-commodities

  4. “Demystifying Managed Futures”. AQR Capital Management. https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/Demystifying-Managed-Futures.pdf

  5. “Capturing curve, carry and trend premia in commodity markets”. Bloomberg Professional. https://www.bloomberg.com/professional/insights/commodities/capturing-curve-carry-and-trend-premia-in-commodity-markets/

Tier 3: 金融情報サイト

  1. “Intercommodity Spread: What It Is, How It Works, Types”. Investopedia. https://www.investopedia.com/terms/i/intercommodityspread.asp

  2. “How to Trade the Gold-Silver Ratio: Strategies and Tips”. Investopedia. https://www.investopedia.com/articles/trading/09/gold-silver-ration.asp

  3. “The Secret to Finding Profit in Pairs Trading”. Investopedia. https://www.investopedia.com/articles/trading/04/090804.asp

  4. “How to Profit from Volatility”. Investopedia. https://www.investopedia.com/articles/active-trading/040515/how-profit-volatility.asp

  5. “How To Profit From the Bollinger Squeeze”. Investopedia. https://www.investopedia.com/articles/technical/04/030304.asp

  6. “Understanding Roll Yield: Scenarios in Futures Markets”. Investopedia. https://www.investopedia.com/terms/r/roll-yield.asp

  7. “Order Flow Trading Guide: Strategies for Traders”. CMC Markets. https://www.cmcmarkets.com/en/trading-strategy/order-flow-trading

  8. “Order Flow Analysis Explained for Futures Traders”. MetroTrade. https://www.metrotrade.com/order-flow-analysis-explained/

市場データ・見通し

  1. “Commodity Markets”. World Bank. https://www.worldbank.org/en/research/commodity-markets

  2. “January 2026 Commodities Update”. CME Group. https://www.cmegroup.com/newsletters/currently-in-commodities/january-2026-commodities-update.html

  3. “Can commodities continue to rally in 2026?”. UBS. https://www.ubs.com/us/en/wealth-management/insights/market-news/article.3002623.html

  4. “Commodity market trends 2026: key shifts ahead”. Baringa. https://www.baringa.com/en/insights/trading-business-of-tomorrow/commodity-market-trends-2026/

  5. “Morgan Stanley: Commodity Market Outlook”. Morgan Stanley. https://www.morganstanley.com/im/en-lu/institutional-investor/insights/outlooks/trends-driving-optimism-in-2026.html