Download or read book Bid ask Spread and Arbitrage Profitability written by Kee-hong Bae and published by . This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Index Arbitrage Profitability written by George Sofianos and published by . This book was released on 1990 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Index Arbitrage and Nonlinear Dynamics Between the S P 500 Futures and Cash written by Gerald P. Dwyer and published by . This book was released on 1995 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Index Arbitrage Profitability written by Lars Nordén and published by . This book was released on 1994 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability written by Y. Peter Chung and published by . This book was released on 1989 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Transactions Data Test of Stock Index Futures Market Efficency and Index Arbitrage Profitability written by University of Microfilms International and published by . This book was released on 1994 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Test of Market Efficiency and Index Arbitrage Profitability on Emerging Polish Stock and Futures Index Markets written by Je̜drzej Białkowski and published by . This book was released on 2003 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Arbitrage Efficiency of Nikkei 225 Options Market written by Steven Li and published by . This book was released on 2006 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is concerned with arbitrage efficiency of the Nikkei index option contracts traded on the Osaka Securities Exchange (OSE) within the put-call parity (PCP) framework. A thorough ex post analysis is first carried out. The results reveal a modest number of violations with 2.74% of the sample breaching the PCP equation and an average arbitrage profit of 22.61 index points for OSE member firms during the sample period (2003-05). Ex ante tests are then conducted whereby ex post profitable arbitrage strategies, signified by the matched put and call contracts, are executed with lags of 1 minute and 3 minutes. The ex ante results reveal that the number of profitable arbitrage opportunities and the average profit are both reduced significantly with an execution lag. In addition, regression analysis is used to provide further evidence about the PCP and arbitrage profitability. Overall, there is no strong evidence found against the efficiency of the Nikkei 225 options market, though arbitrage opportunities do exist occasionally.--Author's abstract.
Download or read book Pairs Trading written by Ganapathy Vidyamurthy and published by John Wiley & Sons. This book was released on 2011-02-02 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first in-depth analysis of pairs trading Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly. Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
Download or read book The Profitability of Hang Seng Index Arbitrage written by Yui Lee and published by . This book was released on 1997 with total page 144 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 Bid Ask Spread and Arbitrage Profitability written by Kee-Hong Bae and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study utilizes both real-time transaction prices and bid-ask quotes in evaluating the profitability of arbitrage strategies for the Hong Kong index futures and index options market. Taking into account the bid-ask spread in identifying arbitrage opportunities, we avoid the selection bias problem associated with using transaction prices. The percentage of observations violating no-arbitrage bounds is significantly reduced when we employ bid-ask quotes instead of transaction prices. This suggests that studies which implement arbitrage strategies based on transaction prices employ prices from the wrong side of the spread. We find a relationship between the frequency of violations (evaluated from transaction prices) and the size of bid-ask spreads in the futures and options markets. This indicates that a larger mispricing, which may arise when the bid-ask spread is wider, does not necessarily imply profitable arbitrage opportunity.
Download or read book Calendar Anomalies and Arbitrage written by W. T. Ziemba and published by World Scientific. This book was released on 2012 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk' arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month. January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating in the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include some of these as well as presidential election, factor models based on fundamental anomalies and other effects. The ideas have been used successfully by the author in personal and managed accounts and hedge funds. Book jacket.
Download or read book The Profitability of an Index Arbitrage and Dynamic Relation Between Mispricing Volume Volatility and Open Interest in the ISE 30 Equity and Future Indices written by Oktay Balaman and published by . This book was released on 2013 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Making Money with statistical Arbitrage written by Jan Becker and published by GRIN Verlag. This book was released on 2012-06-01 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2010 in the subject Business economics - Investment and Finance, University of Frankfurt (Main), language: English, abstract: In the following bachelor’s thesis I am going to present a short survey of the hedge fund industry, its regulation and the existent hedge fund strategies. Especially statistical arbitrage is explained in further detail and major performance measurement ratios are presented. In the second part, I am going to introduce a semi-variance model for statistical arbitrage. The model is compared to the standard Garch model, which is so often used in daily option trading, derivate pricing and risk management. Because investment returns are not equally distributed over time, sources for statistical arbitrage occur. The semi-variance model takes skewness into account and provides higher returns at lower volatility than the Garch model. The concept is aimed to be a synopsis of mean reversion and chart pattern detection. The computer model is generated with respect to Brownian motion and technical analysis and provide significant returns to the investment. As market efficiency hypothesis states the impossibility of arbitrage opportunities over the long run, on the other hand market anomalies significantly outstand. Connecting both elements creates a profitable trading system. The combination of both approaches delivers a sensible hedge fund concept. The out-ofsample backtest verifies out-performance and implies the need for further research in the area of higher moment CAPM and additional market timing strategies as sources of statistical arbitrage.
Download or read book The Impact of Latency Sensitive Trading on High Frequency Arbitrage Opportunities written by Alex Frino and published by . This book was released on 2016 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Classical economic theory suggests that excess returns should be competed away as new participants enter the market. This is especially true for the profits from riskless arbitrage. Yet, there is conflicting evidence in the financial economic literature over whether high frequency trading (HFT) profits, in general, (Baron et al [2012]) and arbitrage profits, in particular (Budish et al [2013] and Chaboud et al [2013]), decline as high frequency or other algorithmic trading increases. There are important public policy implications for market microstructure and the social value of investments by HFT firms in being faster if arbitrage profit opportunities persist (in the absence of limits to arbitrage). There are several different strategies that high frequency and other latency sensitive traders engage in. These include: index arbitrage; spread arbitrage/market making; and correlated arbitrage among others. This study focuses on only one - index arbitrage. Specifically, it examines whether the duration, frequency and profitability of potential arbitrage opportunities between the Australian Securities Exchange (ASX) Share Price Index (SPI) futures contract and the exchange traded fund (ETF), STW, have changed as the number of HFT firms (or intensity of HFT activity) has increased, since the ASX's introduction of co-location services in February 2012. In addition, we use estimated potential arbitrage profits and compare them to the cost of being co-located to determine the value of minimum latency. Not surprisingly, we find the frequency and profitability of potential arbitrage opportunities are greater during volatile and high turnover periods - other things equal. We examine the increased competition in high frequency trading by identifying the number of 'cabinets' co-located in the ASX's liquidity center. With increased HFT connections, we observe increasing value, frequency and duration of index arbitrage profit opportunities. Our results are robust to the inclusion of transaction costs. We conclude that the activity of disruptive HFT outweighs the activity of index arbitrage HFTs.
Download or read book Understanding Arbitrage An Intuitive Approach To Financial Analysis written by Randall S. Billingsley and published by Pearson Education India. This book was released on 2006-09 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
