A profit model for spread trading with an application to energy futures
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Keywordsfutures spread trading; energy futures markets; mean-reverting process; first hitting; time probability density; profit model; WTI crude oil; heating oil; natural gas;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-30 (All new papers)
- NEP-ENE-2011-05-30 (Energy Economics)
- NEP-ENV-2011-05-30 (Environmental Economics)
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