Download or read book Program Trading and Stock Index Arbitrage written by Linda Canina and published by . This book was released on 2008 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock index futures and program trading are among the most important financial market innovations of the 1980s. This chapter surveys the literature and provides an overview of the somewhat controversial area of index arbitrage. We begin with a description of how index futures work, how they should be priced in equilibrium according to the acirc;not;Scost of carryacirc;not;? model, and how index arbitrage works to enforce the theoretical pricing relationship. In theory, index arbitrage is riskless, but we describe how it is affected in practice by transactions costs, execution risk, capital and short sales constraints, and the possibility of unwinding profitable trades before futures expiration. We end with a discussion of the impact of index futures and arbitrage on the volatility of the underlying stock market.

Download or read book Program Trading written by Kevin F. Winch and published by . This book was released on 1987 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Evidence on Stock Index Arbitrage written by Joseph E. Finnerty and published by . This book was released on 1987 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Index Futures and Index Arbitrage in a Rational Expectations Model written by Anne Vila Wetherilt and published by . This book was released on 1989 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Primer on Program Trading and Stock Price Volatility written by Gregory Duffee and published by . This book was released on 1990 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Index Futures written by Floyd Jerome Gould and published by . This book was released on 1987 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Non linear Index Arbitrage written by M. R. Roelfsema and published by . This book was released on 2000 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Program Trading and the Behavior of Stock Index Futures Prices written by Archie Craig MacKinlay and published by . This book was released on 1987 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Another Day Another Collar written by James A. Overdahl and published by . This book was released on 1997 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Overview of Program Trading and Its Impact on Current Market Practices written by Nicholas deBelleville Katzenbach and published by . This book was released on 1987 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book New York Stock Exchange written by United States. General Accounting Office and published by . This book was released on 1988 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Role of Index related Trading in the Market Decline on September 11 and 12 1986 written by United States. Securities and Exchange Commission. Division of Market Regulation and published by . This book was released on 1987 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Impact of Stock Index Arbitrage and Dividend Capture Trading on Stock Market Volatility written by Marcel B. Humber and published by . This book was released on 1990 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Statistical Arbitrage written by Andrew Pole and published by John Wiley & Sons. This book was released on 2011-07-07 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: While statistical arbitrage has faced some tough times?as markets experienced dramatic changes in dynamics beginning in 2000?new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Pole?s own research and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.

Download or read book Program Trading written by United States. Congress. House. Committee on Energy and Commerce. Subcommittee on Telecommunications and Finance and published by . This book was released on 1988 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Markets written by United States. General Accounting Office and published by . This book was released on 1988 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Complete Arbitrage Deskbook written by Stephane Reverre and published by McGraw Hill Professional. This book was released on 2001-05-21 with total page 526 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Complete Arbitrage Deskbook explains every aspect of the types, instruments, trading practices, and opportunities of modern equity arbitrage. It travels beyond U.S. borders to examine the worldwide opportunities inherent in arbitrage activities and demonstrates how to understand and practice equity arbitrage in the global professional environment. Written specifically for traders, risk managers, brokers, regulators, and anyone looking for a comprehensive overview of the field of equity arbitrage, this groundbreaking reference provides: Details of the financial instruments used in equity arbitrage—stocks, futures, money markets, and indices Explanations of financial valuation and risk analysis, tailored to the characteristics of the underlying position and market environment Examples of actual arbitrage situations—presenting a real-life snapshot of equity arbitrage in actionThe Complete Arbitrage Deskbook is the only book to combine operational details with practical analysis of modern equity arbitrage. Concise in explanation yet comprehensive in scope, it provides an integrated overview of both the practices and the possibilities of the modern equity arbitrage marketplace.