Research method
Futures rollover management
Futures rollover management is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Research filter
- Input
- Order book, spread, volume, auction and trading costs
- Horizon
- Seconds to the order life cycle
- Best use
- Choose an executable order and account for implementation cost.
- Input: Order book, spread, volume, auction and trading costs.
- Output: filter.
- Use boundary: Choose an executable order and account for implementation cost.
The archive
Where the method has been read
Read in the archive8 readings
1989Treasury auction-rollover as yield-to-price series construction1991Calendar spread execution for futures month rolls1992Converting OHLC, session, and rollover series for analysis1992Linked futures series for mechanical system evaluation1998Percentage back-adjusted futures series2001Construct a volume-weighted continuous-lead contract2013Construct a continuous futures series from the roll you can execute2018Commodity-basket exposure as a contract-design problem
This registry entry describes a research method. It is not investment advice and does not make a performance claim.