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We study the problem of dynamically trading multiple futures contracts with different underlying assets. To capture the joint dynamics of stochastic bases for all traded futures, we propose a new model involving a multi-dimensional scaled Brownian bridge that is stopped before price convergence....
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The paper discusses the practical issues involved in applying a disciplined risk management methodology to futures … fund management to futures trading as well as discussing some of the risk management issues that are unique to leveraged …
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