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Trading and filtering futures spread portfolios: Further applications of threshold and correlation filters

This study researches the topic of trading futures spreads, that is, trading the pricing differential between two futures contracts. We trade an equally we

Research & Papers
link.springer.comPublished Feb 2010
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Overview

This study researches the topic of trading futures spreads, that is, trading the pricing differential between two futures contracts. We trade an equally we

Publication information

Publication title
Trading and filtering futures spread portfolios: Further applications of threshold and correlation filters
Authors
Dunis, Christian L, Laws, Jason, Evans, Ben
Published
Feb 2010
Venue / journal
Journal of Derivatives & Hedge Funds
DOI
10.1057/jdhf.2009.24 ↗
Publication source
link.springer.com · article/10.1057/jdhf.2009.24 ↗
PDF
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Source: Publisher citation HTML metadata · observed Oct 11, 2026.

Publisher page information

Source page title
Trading and filtering futures spread portfolios: Further applications of threshold and correlation filters | Journal of Derivatives & Hedge Funds | Springer Nature Link
Site name (reported)
SpringerLink
Declared page language
en
Observed source URL
https://link.springer.com/article/10.1057/jdhf.2009.24 ↗
Publisher canonical URL
https://link.springer.com/article/10.1057/jdhf.2009.24 ↗
Source metadata observed
Oct 11, 2026

Recorded from the source page’s published HTML metadata. Publisher page language can differ from this directory’s English interface.

Source links & provenance

https://link.springer.com/article/10.1057/jdhf.2009.24 ↗

Discovery references

References explain how this resource entered the collection. They do not represent an endorsement.

Explore related resources

Screenshot unavailableResource information and source links remain available. DeepIntoStreams/TSFM_Finance — reviewed source website screenshot
RepositoryChecked capture

DeepIntoStreams/TSFM_Finance

github.com

the official implementation of the paper “Re(visiting) Time Series Foundation Models in Finance”.

GitHub stars
31
Language
Jupyter Notebook
Code license
Apache-2.0
foundation-modeltime-seriesresearch-lab
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