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Lecture 49

Mean Reversion on Futures

Introduction

Mean reversion is an oft-covered topic in algorithmic trading and quantitative finance in general. Here we look at some examples of how mean reversion can apply in futures trading. Due to specific structures in contracts and between multiple futures, there are a lot of interesting ways to construct trades that bet on various different quantities or properties. We examine potentially mean-reverting spreads between multiple futures as well as mean-reverting relationships between futures and equities.

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