  We study the problem of dynamically trading multiple futures whose underlying
asset price follows a multiscale central tendency Ornstein-Uhlenbeck (MCTOU)
model. Under this model, we derive the closed-form no-arbitrage prices for the
futures contracts. Applying a utility maximization approach, we solve for the
optimal trading strategies under different portfolio configurations by
examining the associated system of Hamilton-Jacobi-Bellman (HJB) equations. The
optimal strategies depend on not only the parameters of the underlying asset
price process but also the risk premia embedded in the futures prices.
Numerical examples are provided to illustrate the investor's optimal positions
and optimal wealth over time.
