Mean reversion in stock index futures markets: A nonlinear analysis
Several stylized theoretical models of futures basis behavior under nonzero transactions costs predict nonlinear mean reversion of the futures basis towards its equilibrium value. Nonlinearly mean-reverting models are employed to characterize the basis of the SandP 500 and the FTSE 100 indices over...
Main Authors: | Monoyios, M, Sarno, L |
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Format: | Journal article |
Language: | English |
Published: |
2002
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