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We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices.

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Trading VIX futures under mean reversion with regime switching Jiao Li APAM Department, Columbia University New York, NY 10027, United States Received: 26 May 2016

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2016-09-02 · We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices.

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2016-02-02 · Downloadable (with restrictions)! We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean

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