The Profitability Of Index Futures Spread Arbitrage Strategies With Bid And Ask Index Quotes
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Author | : Ka Ming Camay Chan |
Publisher | : |
Total Pages | : 140 |
Release | : 2001 |
Genre | : Arbitrage |
ISBN | : |
Download The Profitability of Index Futures Spread Arbitrage Strategies with Bid and Ask Index Quotes Book in PDF, Epub and Kindle
Author | : Kee-hong Bae |
Publisher | : |
Total Pages | : 52 |
Release | : 1996 |
Genre | : Arbitrage |
ISBN | : |
Download Bid-ask Spread and Arbitrage Profitability Book in PDF, Epub and Kindle
Author | : Kee-Hong Bae |
Publisher | : |
Total Pages | : |
Release | : 1998 |
Genre | : |
ISBN | : |
Download Bid-Ask Spread and Arbitrage Profitability Book in PDF, Epub and Kindle
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.
Author | : Joseph K. W. Fung |
Publisher | : |
Total Pages | : 40 |
Release | : 2000 |
Genre | : Arbitrage |
ISBN | : |
Download Index Options-futures Arbitrage Book in PDF, Epub and Kindle
Author | : B. Thomas Byrne |
Publisher | : Irwin Professional Publishing |
Total Pages | : 380 |
Release | : 1987 |
Genre | : Business & Economics |
ISBN | : |
Download The Stock Index Futures Market Book in PDF, Epub and Kindle
Author | : Hamad Alsayed |
Publisher | : |
Total Pages | : 42 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Ultra High Frequency Statistical Arbitrage Across International Index Futures Book in PDF, Epub and Kindle
We show that exploitable lead-lag relations of the order of a few hundred milliseconds exist in the three pairings between the S&P 500, FTSE 100, and DAX futures contracts. These relations exhibit clear intra-daily patterns, particularly around the US open, the European close, and the announcement of macroeconomic data. Using this information, we forecast mid-quote changes in lagging contracts with a directional accuracy in excess of 85%. A simple statistical arbitrage strategy exploiting these relations yields economically significant profits which are robust to market impact costs and the bid-ask spread. However, returns are sensitive to the risk of slippage, and the most profitable trading opportunities rarely exist for longer than 300 milliseconds. Hence, we highlight price slippage and infrastructure costs as the most significant limits to arbitrage in this market setting. Overall, our results accord with the view that informational inefficiencies incentivize arbitrageurs to appropriate pricing anomalies.
Author | : Michael Lee Hemler |
Publisher | : |
Total Pages | : |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Box Spread Arbitrage Profits and the 1987 Market Crash Book in PDF, Epub and Kindle
We examine the riskless box spread trading strategy before and after the 1987 Market Crash using intraday data for Samp;P 500 Index (SPX) options. We find that the Crash had a significant impact on trading profitability. Before the Crash, apparently profitable trading opportunities were rare and simulated trades based on such opportunities were unprofitable. For approximately three weeks after the Crash, however, apparently profitable trading opportunities occurred frequently and the corresponding simulated trades produced arbitrage profits. These post-Crash profits accompanied an increased bid-ask spread and a decreased number of trades and price quotes, suggesting increased uncertainty on the part of traders regarding the value of the Samp;P 500 Index. Nonetheless, traders apparently stood by their quotes--in the post-Crash period, all trades occurred within the bid-ask spread and the number of contracts per trade did not drop substantially from its pre-Crash level.
Author | : Charlie Charoenwong |
Publisher | : |
Total Pages | : 33 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Bid-Ask Spreads, Volatility, Quote Revisions, and Trades of Thinly Traded Futures Contracts Book in PDF, Epub and Kindle
In this paper, intraday characteristics of thinly traded equity index futures contracts from the Singapore Exchange are examined. Though the BAS pattern during the trading day appears quite flat, an increase in risk widens the spread and a higher trading activity reduces it. The difference in volatility between days with and without trades is not significant. When trades do occur, there are more quote revisions, which is positively related to the number of trades. Higher quote revisions increase the likelihood of transactions and, when quotes are current, revisions that are accompanied by trades carry new information. We provide evidence that thinly traded contracts can be liquid if their price quotes are current.
Author | : R.A. Jarrow |
Publisher | : Elsevier |
Total Pages | : 1204 |
Release | : 1995-12-15 |
Genre | : Business & Economics |
ISBN | : 9780444890849 |
Download Finance Book in PDF, Epub and Kindle
Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.
Author | : Frank J. Fabozzi |
Publisher | : Irwin Professional Publishing |
Total Pages | : 392 |
Release | : 1984 |
Genre | : Business & Economics |
ISBN | : |
Download Stock Index Futures Book in PDF, Epub and Kindle