Correction: Fanelli (2024). Mean-Reverting Statistical Arbitrage Strategies in Crude Oil Markets. Risks 12: 106

Text Correction

There was an error in the original publication (Fanelli 2024). A mistake was made in Equation (12); the term S_t must be substituted by Z_t, and the same substitution must be carried out in the second row after Equation (12).

The following correction has been made to Section 4. Empirical Application on Crude Oil Markets and Result, Section 4.1.5. Performance Analysis, Paragraph 2:

$$R_t=S_t^k{\displaystyle \frac{\Delta M_t}{Z_t+V_t^h}}-c\left|\Delta S_t^k\right|,$$

(12)

where $\Delta M_t=M_t-M_{t-1}$, $\Delta S_t^k=S_t^k-S_{t-1}^k$, c is the percentage transaction costs and $Z_t+V_t^h$ is the sum of the mispricing portfolio components. Then, we can substitute $S_t^k$ with the other trading strategies (10) and (11) in order to obtain the return of those strategies.

The author states that the scientific conclusions are unaffected. This correction was approved by the Academic Editor. The original publication has also been updated.