Mean reversion in stock index futures ma
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Michael Monoyios; Lucio Sarno
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Article
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2002
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John Wiley and Sons
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English
β 204 KB
## Abstract 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 meanβreverting models are employed to characterize the basis of the S&P 500 and the FTSE 100 in