Monoyios, Michael; Sarno, Lucio - In: Journal of Futures Markets 22 (2002) 4, pp. 285-314
Several stylized theoretical models of futures basis behavior under nonzero transactions costs predict nonlinear mean reversion of the futures basis towards its equilibrium value. Nonlinearly mean‐reverting models are employed to characterize the basis of the S&P 500 and the FTSE 100 indices...