3The importance of rollover in commodity returns using PARCH models
1. Introduction
The most important aspect of any algorithmic system is to ensure the data with which the system is back-tested is correct and completely agrees with the data of the platform which is then used to trade. Generally most studies in econometrics do not specify which type of data is used, whether futures or spot, or at which time the data is taken. The application of any of the theoretical models to real-life trading situations is rare. Finding the correct prices for back-testing is more difficult than was initially thought. It is therefore not straightforward to obtain the data required ...
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