A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100

By Chris Brooks, Alistair G. Rew, Stuart Ritson. 2001

210 citations recorded by the source corpus.

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Price Discovery, Causality and Forecasting in the Freight Futures Market (2003, unknown): “The VECM predicts correctly the direction of the BFI 1-day ahead 90.24% of the time (or alternatively, 74 correct predictions for the 82 days of the out-of-sample period); on the other hand, Tse (1995) finds that the VECM scores 64.3% correct directional predictions, while Brooks, Rew, and Ritson (”
The Co-integrating Relationship between Stock Index and Futures Prices (2009, methodology): “Brooks et al. (2001)[5] who examine high-frequency data from the FTSE100 stock index and index futures, show that it is possible to use an error correction formulation to model changes in the log of a stock index.”