search query: @author Sofianos, G. / total: 4
reference: 4 / 4
« previous | next »
| Author: | Harris, L. Sofianos, G. Shapiro, J. |
| Title: | Program trading and intraday volatility |
| Journal: | Review of Financial Studies
1994 : WINTER, VOL. 7:4, p. 653-686 |
| Index terms: | TRADE SHARE PRICES ECONOMICS |
| Language: | eng |
| Abstract: | Program trading and intraday changes in the S&P 500 Index are correlated. Futures prices and, to a lesser extent, cash prices lead program trades. Index arbitrage trades are followed by an immediate change in the cash index, which ultimately reverses slightly. No reversal follows nonarbitrage trades. The cumulative index changes associated with buy-and-sell trades and with arbitrage and nonarbitrage trades all are similar. |
« previous | next »
SCIMA