Are there exploitable inefficiencies in the futures market for oil?

If the crude oil futures market is not efficient in the Fama sense, profitable trading opportunities may exist. This paper uses an artificial neural network model with moving average crossover inputs to predict price in the crude oil futures market. The predictions of price are used to construct buy and sell signals for traders. Compared to those of benchmark models, cumulative returns, year-to-year returns, returns over a market cycle, and Sharpe ratios all favor the ANN model by a large factor. The significant profitability of the ANN model casts doubt on the efficiency of the oil futures market. (c) 2005 Elsevier B.V. All rights reserved.