haku: @indexterm arbitrage / yhteensä: 72
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Tekijä:Taylor, N.
Otsikko:A new econometric model of index arbitrage
Lehti:European Financial Management
2007 : JAN, VOL. 13:1, p. 159-183
Asiasana:econometric models
arbitrage
stock markets
futures markets
trading
prices
Kieli:eng
Tiivistelmä:In this paper, a new econometric model of the mispricing associated with differences btw. spot and futures prices is introduced. Based on high frequency data from the S&P 500 spot and futures market, the results show that the nature of the non-linearity in mispricing corresponds to arbitrageur behaviour varying over the trading day.
SCIMA tietueen numero: 265558
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