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Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures

Author

Listed:
  • Michael H. Breitner
  • Christian Dunis
  • Hans-Jörg Mettenheim
  • Christopher Neely
  • Georgios Sermpinis
  • Hamad Alsayed
  • Frank McGroarty

Abstract

No abstract is available for this item.

Suggested Citation

  • Michael H. Breitner & Christian Dunis & Hans-Jörg Mettenheim & Christopher Neely & Georgios Sermpinis & Hamad Alsayed & Frank McGroarty, 2014. "Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(6), pages 391-408, September.
    • Handle: RePEc:wly:jforec:v:33:y:2014:i:6:p:391-408
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    Cited by:

    1. Takaki Hayashi & Yuta Koike, 2017. "No arbitrage and lead-lag relationships," Papers 1712.09854, arXiv.org.
    2. Hudson, Robert & McGroarty, Frank & Urquhart, Andrew, 2017. "Sampling frequency and the performance of different types of technical trading rules," Finance Research Letters, Elsevier, vol. 22(C), pages 136-139.
    3. Zanin, Massimiliano & Belkoura, Seddik, 2018. "On the applicability of the Lead/Lag Ratio in causality assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 186-196.
    4. Hayashi, Takaki & Koike, Yuta, 2019. "No arbitrage and lead–lag relationships," Statistics & Probability Letters, Elsevier, vol. 154(C), pages 1-1.
    5. Batten, Jonathan A. & Lucey, Brian M. & McGroarty, Frank & Peat, Maurice & Urquhart, Andrew, 2018. "Does intraday technical trading have predictive power in precious metal markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 102-113.
    6. Lee, Kyungsub & Seo, Byoung Ki, 2017. "Marked Hawkes process modeling of price dynamics and volatility estimation," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 174-200.
    7. Takaki Hayashi & Yuta Koike, 2016. "Wavelet-based methods for high-frequency lead-lag analysis," Papers 1612.01232, arXiv.org, revised Nov 2018.

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