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Comprehensive analysis evaluates market behaviors in major futures, indicating strategy limitations due to costs and time variance.
A comprehensive statistical analysis evaluating daily gap-fill behavior and market mean reversion across major index and commodity futures. Validates that while long-term reversion features heavily in retail heuristics, time variance and execution costs heavily degrade strategy expectations. Access full data matrices and real-time distribution models at https://mpmmarkets.com
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Dhaval Barot (2026) studied this question.
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