2015 Help me understand this report
The Poverty of Academic Finance Research: Spread Trading Strategies in the Crude Oil Futures Market
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“…The Crack-Spread as displayed in Graphics-21 can not be directly traded because it ignores roll-effects (see (15) for a detailed discussion of this point). One has to build a portfolio where the involved Futures are rolled over.…”
Section: 2) Trading the Crack With Bollinger-bandsmentioning
confidence: 99%
“…The Crack-Spread as displayed in Graphics-21 can not be directly traded because it ignores roll-effects (see (15) for a detailed discussion of this point). One has to build a portfolio where the involved Futures are rolled over.…”
Section: 2) Trading the Crack With Bollinger-bandsmentioning
confidence: 99%
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