q-fin.TR · 2026-06-25 · No. 34

Trading and Market Microstructure, 2026-06-25.

1 new papers in q-fin.TR. Titles, authors, abstracts. Links to arXiv. Want this in your inbox every morning? Subscribe →

01 — The papers

1 entries
  1. 01

    Hierarchical Graph Learning for Calendar Spread Strategies in Commodity Futures Markets

    Yoonsik Hong, Diego Klabjan

    q-fin.TR · cs.CE · cs.LG · q-fin.PM · q-fin.PR

    Commodity futures can be represented hierarchically, with underlying assets at the upper level and individual futures contracts at the lower level. Entities at each level can be connected by edges reflecting inherent correlations, with cross-level edges capturing contract-to-underlying asset connections. Building on our observations of these structures, we propose a hierarchical graph learning approach for calendar spread (CS) strategies in...

    arxiv.org/abs/2606.25811 · PDF

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