Mean Reversion and Basis Dynamics

descriptionPublicationkeyboard_double_arrow_right Article 05 Jul 2001 English Publisher:WileyJournal:Journal of Futures Markets, volume 21, pages 797-818 (issn: 0270-7314, eissn: 1096-9934,

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Authors: Michael Theobald; Peter Yallup;

doi: 10.1002/fut.1901

Mean Reversion and Basis Dynamics

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Abstract

AbstractAn analytical relationship between basis change autocorrelations and thin trading effects together with partial adjustment factors is developed. Less than full price adjustments are demonstrated to lead to negative autocorrelations in basis innovation series in addition to those induced by thin trading effects. Numerical and empirical analyses explore the interrelationships between these effects and provide evidence for the presence of both effects in intradaily cash and futures data. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 797–818, 2001

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University of Birmingham
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