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This study found that when the planting time price of December cotton futures was high relative to the long-term average, the harvest price would tend to be lower; and vice versa. This process is called mean reversion. Hedging/speculation strategies, devised to take advantage of mean reversion, showed significant returns in a 19-year simulation. |
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©National Cotton Council, Memphis TN |
Document last modified Saturday, Jun 17 2000
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