Optimal Sequential Futures Trading
指出传统期货套期保值研究仅考虑单期决策，忽略了新信息预期带来的多期决策问题，对需要动态调整头寸的套期保值者和高频交易者有参考价值。
Hedgers adjust their futures market positions to reflect new information. Therefore, the anticipation of new information creates future decision points and thus a multiperiod decision problem. Previous studies (see [2], [4], [5], [7], and [8]) which solved the problem of choosing optimal futures market hedges have not addressed this issue. Rather, these studies have derived optimal hedges in one-period frameworks. In general, this solution is incorrect if, during the time the hedge is in effect, new information is anticipated.