According to the theory of calendar spread arbitrage, we proposed a strategy which is effective in practice. Moreover, we test the effectiveness of this strategy using historical market data and record the opportunities and profits of arbitrage. The results show...
A futures spread is an arbitrage technique in which a trader takes two positions on a commodity to capitalize on a discrepancy in price. In a futures spread, the trader completes a unit trade, with both alongandshortposition. Key Takeaways A futures spread is an arbitrage technique in which ...
By including different types of futures contracts in a portfolio, investors can spread their risk across various asset classes and reduce their exposure to specific market movements. This diversification can enhance the overall risk-adjusted returns of the portfolio. Arbitrage Opportunities: Futures ...
A fascinating phenomenon that occurs as a futures contract nears expiration is theconvergenceof the futures price and the spot price of the underlying asset. This happens because thearbitrageopportunities diminish, forcing the futures price to align more closely with the current market price.7 Never ...
Arbitrage Opportunities:Arbitrageurs take advantage of price discrepancies between different markets or related instruments. They identify situations where the same commodity is trading at different prices in different markets or where the futures price deviates significantly from the expected spot price....
5 of 26 Opening Position Price at Gain or Liquidation Loss Price at Gain or Liquidation Loss Buy ABC at 50 Sell XYZ at 45 $53 $300 $53 $300 $46 - $100 $50 - $500 Net Gain or Loss $200 - $200 Speculators can also engage in arbitrage, which is similar to a spread except that...
calendar spreads, and the types of traders who use futures to manage risks Treasury Futures: The Language of the Basis_ covering delivery option, basis matrix, and "fear arbitrage" from recent squeezes in the market Eurodollar Futures: Minimal Structure, Complex Implications_ exploring convexity bi...
The present calendar spread arbitrage of stock index future,based on the cointegration theory,mostly uses the GARCH model.This model ignores the existence of leverage effect and doesn't consider that the conditional variance may affect the cointegration equation.We firstly introduce the EGARCH-M model...
Based on high-frequency data of CSI 300 index futures, this paper studies the profits of calendar spread arbitrage in the CSI 300 index futures market. Thi... K Yi,CY Wang,Y Qiang - International Conference on Management Science & Engineering 被引量: 0发表: 2013年 一种基于高频数据的汇市统...
the Energy futures market and mispricing is lowest in the Grains & Softs futures market. Overall, and using the parlance in the oil and gas industry, our results suggest statistical arbitrage mispricing opportunities are more likely found in “crack-spread” trades than in “calendar-spread”...