Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash

Price Discovery and Arbitrage between Futures and Cash Markets for Taiwan Stock Index

the study of bright and surface discrete cavity solitons dynamics in saturable nonlinear media

امروزه سالیتون ها بعنوان امواج جایگزیده ای که تحت شرایط خاص بدون تغییر شکل در محیط منتشر می-شوند، زمینه مطالعات گسترده ای در حوزه اپتیک غیرخطی هستند. در این راستا توجه به پدیده پراش گسسته، که بعنوان عامل پهن شدگی باریکه نوری در آرایه ای از موجبرهای جفت شده، ظاهر می گردد، ضروری است، زیرا سالیتون های گسسته از خنثی شدن پراش گسسته در این سیستم ها بوسیله عوامل غیرخطی بوجود می آیند. گسستگی سیستم عامل...

Chance Discovery in Stock Index Option and Futures Arbitrage

The prices of the option and futures of a stock both reflect the market’s expectation of futures changes of the stock’s price. Their prices normally align with each other within a limited window. When they do not, arbitrage opportunities arise: an investor who spots the misalignment will be able to buy (sell) options on one hand, and sell (buy) futures on the other and make risk-free profits. H...

DAX Index Futures: Mispricing and Arbitrage in German Markets

The paper reports the results of an empirical study of the price relation between the German Performance Stock Index, DAX, and DAX futures. An ex-ante arbitrage strategy based on arbitrage signals is analyzed. The data set contains intraday bidand ask futures quotes and index values on a minute by minute basis. It is found that the number and persistence of arbitrage opportunities differs consi...

Evolutionary Arbitrage For FTSE-100 Index Options and Futures

The objective in this paper is to develop and implement FGP-2 (Financial Genetic Programming) on intra daily tick data for stock index options and futures arbitrage in a manner that is suitable for online trading when windows of profitable arbitrage opportunities exist for short periods from one to ten minutes. Our benchmark for FGP-2 is the textbook rule for detecting arbitrage profits. This r...