Limits to arbitrage: The case of single stock futures and spot pricesLimits to arbitrageMispricingNo-arbitrage bandsShort-selling constraintsTransactions costsFunding constraintsTable 3 Sample summary statistics of market variablesdoi:10.2139/ssrn.2585876...
(2016) studies gambling preference in the option market and points out that gambling-motivated option trading will affect the volatility of stock spot price in the future. Bali et al. (2011) find that the investors' gambling preference contributes to the formation of MAX anomaly and results in...
Examines the Nikkei stock average futures contract using intraday transactions data. Limitations in arbitrage opportunities; Properties of the S&P 500 spot-futures prices; Evaluation on the price behavior of the spot index and futures.doi:10.1002/fut.3990120204...
“Volatility is high and if you don’t like the price just stick around,” Phil Flynn with the Price Futures Group wrote in a note Tuesday morning. Flynn said prices are bouncing back Tuesday because the selling yesterday was “out of balance.” Geopolitical risk also persists as tensions ri...
In addition, the company provides Galaxy Asset Management, a platform that provides access to the digital asset ecosystem; bitcoin mining and validator services; and quantitative, arbitrage, and macro trading strategies. Further, it develops, operates, and invests in technology that powers the digital...
Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH Application of neural networks to an emerging financial market: Forecasting and trading the Taiwan Stock Index
Based on 1 minute high frequency data, this paper constructs no-arbitrage band for CSI300 index futures, and empirically studies the futures-spot arbitrage. Furthermore, the mean reversion and its time effect are analyzed by ADF model for the first time in Chinese index futures market and a ...
Based on the cost of carry model for futures pricing, this paper discussed the arbitrage-free interval in China spot-futures arbitrage trading market. The cases we analyze are the arbitrage between CSI 300 futures contract and the Huatai-PineBridge CSI 300 ETF, Harvest CSI 300 ETF based on th...
Arbitrage-free option-pricing models Yield curveoption-pricing models. Asian option optionbased on the average price of the asset during the life of theoption. Auction rate preferred stock (ARPS) Floating rate preferredstock, the dividend on which is adjusted every ...
Aswing tradertakes more time to monitor stocks while evaluating the opportunities available. Swing traders can hold a position for days with the goal of capturing the majority of a move in a security's price. Swing traders might study the market for days or weeks before making a trade, buy...