Kanamura, Takashi; Račev, Svetlozar T.; Fabozzi, Frank J. - 2011
probability density of a mean-reverting process is approximately known, the profit model for energy futures price spreads is given … crude oil and heating oil due to its high volatility in addition to its long-term mean reversion, which offers supportive … evidence of the model prediction. -- Futures spread trading ; energy futures markets ; mean-reverting process ; first hitting …