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Arbitrage in Stock Index Futures

Citations

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Cited by:

  1. Taylor, Nick & Dijk, Dick van & Franses, Philip Hans & Lucas, Andre, 2000. "SETS, arbitrage activity, and stock price dynamics," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1289-1306, August.
  2. Henker, Thomas & Martens, Martin, 2005. "Index futures arbitrage before and after the introduction of sixteenths on the NYSE," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 353-373, June.
  3. Boming Ning & Prakash Chakraborty & Kiseop Lee, 2023. "Optimal Entry and Exit with Signature in Statistical Arbitrage," Papers 2309.16008, arXiv.org, revised Mar 2024.
  4. Arago, V. & Corredor, P. & Santamaria, R., 2003. "Transaction costs, arbitrage, and volatility spillover: a note," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 399-415.
  5. Jun Liu, 2004. "Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities," The Review of Financial Studies, Society for Financial Studies, vol. 17(3), pages 611-641.
  6. Taylor, Nicholas, 2004. "Trading intensity, volatility, and arbitrage activity," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1137-1162, May.
  7. repec:dau:papers:123456789/9850 is not listed on IDEAS
  8. Erik Theissen, 2012. "Price discovery in spot and futures markets: a reconsideration," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 969-987, November.
  9. Abel Azze & Bernardo D'Auria & Eduardo Garc'ia-Portugu'es, 2022. "Optimal stopping of Gauss-Markov bridges," Papers 2211.05835, arXiv.org, revised Jul 2024.
  10. Kai-Li Wang & Mei-Ling Chen, 2007. "The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 371-394, November.
  11. Louis T. W. Cheng & Joseph K. W. Fung & Castor Pang, 1998. "Early Unwinding Strategy In Index Options-Futures Arbitrage," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(4), pages 447-467, December.
  12. Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, December.
  13. Tse, Yiuman, 2001. "Index arbitrage with heterogeneous investors: A smooth transition error correction analysis," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1829-1855, October.
  14. Kiseop Lee & Tim Leung & Boming Ning, 2023. "A Diversification Framework for Multiple Pairs Trading Strategies," Risks, MDPI, vol. 11(5), pages 1-18, May.
  15. Basak, Suleyman & Croitoru, Benjamin, 2006. "On the role of arbitrageurs in rational markets," Journal of Financial Economics, Elsevier, vol. 81(1), pages 143-173, July.
  16. Wolfgang Bühler & Alexander Kempf, 1998. "Optionsbewertung bei endogenem Preis des Basisinstruments: Der Fall der Glattstellungsoption," Schmalenbach Journal of Business Research, Springer, vol. 50(5), pages 411-435, May.
  17. Kristoffer Glover, 2019. "With or without replacement? Sampling uncertainty in Shepp's urn scheme," Papers 1911.11971, arXiv.org, revised Mar 2022.
  18. Dwyer, Gerald P, Jr & Locke, Peter R & Yu, Wei, 1996. "Index Arbitrage and Nonlinear Dynamics between the S&P 500 Futures and Cash," The Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 301-332.
  19. Bahman Angoshtari & Tim Leung, 2020. "Optimal trading of a basket of futures contracts," Annals of Finance, Springer, vol. 16(2), pages 253-280, June.
  20. Contreras, Mauricio & Montalva, Rodrigo & Pellicer, Rely & Villena, Marcelo, 2010. "Dynamic option pricing with endogenous stochastic arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3552-3564.
  21. Isabel Figuerola‐Ferretti & Ioannis Paraskevopoulos & Tao Tang, 2018. "Pairs‐trading and spread persistence in the European stock market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 998-1023, September.
  22. Poskitt, Russell, 2006. "Swap pricing: Evidence from the sterling swap market," Global Finance Journal, Elsevier, vol. 17(2), pages 294-308, December.
  23. Tim Leung & Kevin W. Lu, 2023. "Monte Carlo Simulation for Trading Under a L\'evy-Driven Mean-Reverting Framework," Papers 2309.05512, arXiv.org, revised Jan 2024.
  24. Fung, Joseph K.W. & Girardin, Eric & Hua, Jian, 2022. "How does the exchange-rate regime affect dual-listed share price parity? Evidence from China’s A- and H-share markets," Journal of International Money and Finance, Elsevier, vol. 129(C).
  25. Tim Leung & Jiao Li & Xin Li, 2018. "Optimal Timing to Trade along a Randomized Brownian Bridge," IJFS, MDPI, vol. 6(3), pages 1-23, August.
  26. Roll, Richard & Schwartz, Eduardo S & Subrahmanyam, Avanidhar, 2004. "Liquidity and Arbitrage," University of California at Los Angeles, Anderson Graduate School of Management qt9492m2t1, Anderson Graduate School of Management, UCLA.
  27. Bühler, Wolfgang & Kempf, Alexander, 1994. "DAX Index Futures: Mispricing and Arbitrage in German Markets," ZEW Discussion Papers 94-15, ZEW - Leibniz Centre for European Economic Research.
  28. Jiao Li, 2016. "Trading VIX futures under mean reversion with regime switching," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-20, September.
  29. Kim, Bong-Han & Chun, Sun-Eae & Min, Hong-Ghi, 2010. "Nonlinear dynamics in arbitrage of the S&P 500 index and futures: A threshold error-correction model," Economic Modelling, Elsevier, vol. 27(2), pages 566-573, March.
  30. Joseph K.W. Fung & Haynes H.M. Yung, 2007. "Expiration-Day Effects - An Asian Twist," Working Papers 012007, Hong Kong Institute for Monetary Research.
  31. Jonathan Dark, 2004. "Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures," Monash Econometrics and Business Statistics Working Papers 4/04, Monash University, Department of Econometrics and Business Statistics.
  32. Garrett Ian & Taylor Nicholas, 2001. "Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(2), pages 1-22, July.
  33. Bialkowski, Jedrzej & Jakubowski, Jacek, 2008. "Stock index futures arbitrage in emerging markets: Polish evidence," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 363-381.
  34. Fung, Joseph K. W. & Mok, Henry M. K., 2003. "Early unwinding of options-futures arbitrage with bid/ask quotations and transaction prices," Global Finance Journal, Elsevier, vol. 14(2), pages 121-133, July.
  35. R. Mansuy, 2004. "On a One-Parameter Generalization of the Brownian Bridge and Associated Quadratic Functionals," Journal of Theoretical Probability, Springer, vol. 17(4), pages 1021-1029, October.
  36. Bahman Angoshtari & Tim Leung, 2019. "Optimal dynamic basis trading," Annals of Finance, Springer, vol. 15(3), pages 307-335, September.
  37. Yerkin Kitapbayev & Tim Leung, 2018. "Mean Reversion Trading With Sequential Deadlines And Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-22, February.
  38. Wu, Weili & Zhu, Feifei, 2023. "ETF ownership and informational efficiency of underlying stocks: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  39. Tim Leung & Jiao Li & Xin Li & Zheng Wang, 2016. "Speculative Futures Trading under Mean Reversion," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(4), pages 281-304, December.
  40. Chen, Chin-Ho, 2019. "Downside jump risk and the levels of futures-cash basis," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  41. Heinz Zimmermann & Claudia Zogg-Wetter, 1997. "Preisbildung am schweizerischen SMI-Futuresmarkt: Arbitrage und dynamische Preisbeziehungen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(II), pages 95-132, June.
  42. Joseph K.W. Fung & Philip Yu, 2007. "Order Imbalance and the Dynamics of Index and Futures Prices," Working Papers 072007, Hong Kong Institute for Monetary Research.
  43. Mohammed Louriki, 2019. "Brownian bridge with random length and pinning point for modelling of financial information," Papers 1907.08047, arXiv.org, revised Dec 2021.
  44. Görgens, Maik & Thulin, Måns, 2014. "Bias-correction of the maximum likelihood estimator for the α-Brownian bridge," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 78-86.
  45. Per Alkeback & Niclas Hagelin, 2004. "Expiration day effects of index futures and options: evidence from a market with a long settlement period," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 385-396.
  46. Kempf, Alexander & Korn, Olaf, 1998. "Trading System and Market Integration," Journal of Financial Intermediation, Elsevier, vol. 7(3), pages 220-239, July.
  47. Andrea L. Eisfeldt & Hanno Lustig & Lei Zhang, 2017. "Complex Asset Markets," NBER Working Papers 23476, National Bureau of Economic Research, Inc.
  48. Glover, Kristoffer, 2022. "Optimally stopping a Brownian bridge with an unknown pinning time: A Bayesian approach," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 919-937.
  49. Contreras, M. & Echeverría, J. & Peña, J.P. & Villena, M., 2020. "Resonance phenomena in option pricing with arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
  50. Lei, Yaoting & Xu, Jing, 2015. "Costly arbitrage through pairs trading," Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 1-19.
  51. Tim Brailsford & Allan Hodgson, 1997. "Mispricing in Stock Index Futures: A Re†Examination Using the SPI," Australian Journal of Management, Australian School of Business, vol. 22(1), pages 21-45, June.
  52. Florian Hildebrandt & Sylvie Rœlly, 2020. "Pinned Diffusions and Markov Bridges," Journal of Theoretical Probability, Springer, vol. 33(2), pages 906-917, June.
  53. Bühler, Wolfgang & Kempf, Alexander, 1994. "The value of the early unwind option in futures contracts with an endogenous basis," ZEW Discussion Papers 94-06, ZEW - Leibniz Centre for European Economic Research.
  54. Bernardo D’Auria & Alessandro Ferriero, 2020. "A Class of Itô Diffusions with Known Terminal Value and Specified Optimal Barrier," Mathematics, MDPI, vol. 8(1), pages 1-14, January.
  55. Vipul, 2008. "Mispricing, Volume, Volatility and Open Interest," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(3), pages 263-292, December.
  56. Nicholas Taylor, 2007. "A New Econometric Model of Index Arbitrage," European Financial Management, European Financial Management Association, vol. 13(1), pages 159-183, January.
  57. Marc Chesney & Alexander Kempf, 2012. "The value of tradeability," Review of Derivatives Research, Springer, vol. 15(3), pages 193-216, October.
  58. Kim, Min Jae & Kim, Sehyun & Jo, Yong Hwan & Kim, Soo Yong, 2011. "Dependence structure of the commodity and stock markets, and relevant multi-spread strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3842-3854.
  59. Xiaodong Chen & Tim Leung & Yang Zhou, 2022. "Constrained dynamic futures portfolios with stochastic basis," Annals of Finance, Springer, vol. 18(1), pages 1-33, March.
  60. Contreras, Mauricio & Pellicer, Rely & Villena, Marcelo & Ruiz, Aaron, 2010. "A quantum model of option pricing: When Black–Scholes meets Schrödinger and its semi-classical limit," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5447-5459.
  61. Sercu, Piet & Vandebroek, Martina, 2005. "What UIP tests on extreme samples reveal about the missing variable," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1237-1260, December.
  62. Zhao, Shoujiang & Liu, Qiaojing & Chen, Ting, 2018. "On the large deviation principle for maximum likelihood estimator of α-Brownian bridge," Statistics & Probability Letters, Elsevier, vol. 138(C), pages 143-150.
  63. Sunil S. Poshakwale & Jude W. Taunson & Anandadeep Mandal & Michael Theobald, 2019. "Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market," Review of Quantitative Finance and Accounting, Springer, vol. 53(4), pages 1135-1163, November.
  64. Weiqian Zhang & Songsong Li & Zhichang Guo & Yizhe Yang, 2023. "A hybrid forecasting model based on deep learning feature extraction and statistical arbitrage methods for stock trading strategies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1729-1749, November.
  65. Mauricio Contreras G. & Roberto Ortiz H, 2021. "Three little arbitrage theorems," Papers 2104.10187, arXiv.org.
  66. Jiao Li, 2016. "Trading VIX Futures under Mean Reversion with Regime Switching," Papers 1605.07945, arXiv.org, revised Jun 2016.
  67. Chang, Charles & Lin, Emily, 2015. "Cash-futures basis and the impact of market maturity, informed trading, and expiration effects," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 197-213.
  68. Radnai, Márton, 2002. "Árazási hiba a határidős indexpiacokon [Mispricing on index futures markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 905-927.
  69. Zhao, Shoujiang & Zhou, Yanping, 2013. "Sharp large deviations for the log-likelihood ratio of an α-Brownian bridge," Statistics & Probability Letters, Elsevier, vol. 83(12), pages 2750-2758.
  70. Kristoffer Glover & Hardy Hulley, 2022. "Financially constrained index futures arbitrage," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1688-1703, September.
  71. Pascal Alphonse, 2007. "Mispricing Persistence and the Effectiveness of Arbitrage Trading," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 123-156, March-Jun.
  72. J Fedderke & Michelle Joao, 2001. "Arbitrage, Cointegration And Efficiency In Financial Markets In The Presence Of Financial Crises," South African Journal of Economics, Economic Society of South Africa, vol. 69(3), pages 366-384, September.
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