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Saturday, May 9, 2020 | History

2 edition of Early unwindings and rollovers of stock index futures arbitrage programs found in the catalog.

Early unwindings and rollovers of stock index futures arbitrage programs

John J Merrick

Early unwindings and rollovers of stock index futures arbitrage programs

analysis and implications for predicting expiration day effects

by John J Merrick

  • 38 Want to read
  • 39 Currently reading

Published by Federal Reserve Bank of Philadelphia in [Philadelphia] .
Written in English

    Subjects:
  • Stock index futures -- Mathematical models,
  • Arbitrage -- Mathematical models,
  • Stock exchanges -- United States -- Mathematical models

  • Edition Notes

    StatementJohn J. Merrick, Jr
    SeriesWorking paper / Federal Reserve Bank of Philadelphia -- no. 87- 16
    The Physical Object
    Pagination32 p. ;
    Number of Pages32
    ID Numbers
    Open LibraryOL14424025M

      A signal is generated when the system finds particular types of discrepancy between the cash index and corresponding futures, in a quasi risk-arbitrage. Developing trading systems for Author: Jonathan Kinlay.   Index arbitrage is a trading strategy that attempts to profit from the differences between actual and theoretical prices of a stock market index. more Counterparty.

    Smart investors having investible sum in the range of 3 to 5 lakhs can earn risk free profit using cash future arbitrage. In a cash-futures arbitrage, a trader sells the futures that are quoting at a premium (or buys the future that is quoting at a discount) to the stock, and buys (or sells) an equivalent quantity of the underlying shares, the. Stock Index: Example l Consider a 3-month futures contract on the S&P index where the index yields 1% per annum. l The current index value is 1, and the continuously compounded riskless rate is 5%. l The futures price F 0 must be: 1,e()x l Thus F 0 = $1, 26File Size: KB.

      Arbitraging Futures Contracts (Part I): CNBC Explains AM ET Sun, 29 May Arbitrage is a way to make risk-free profits by taking advantage of a market’s price : CNBC Explains.   “Arbitrage is the simultaneous purchase and sale of an asset to profit from a difference in the price. It is a trade that profits by exploiting the price differences of identical or similar Author: Trademate Sports.


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Early unwindings and rollovers of stock index futures arbitrage programs by John J Merrick Download PDF EPUB FB2

Arbitrage of Stock Index Futures Article (PDF Available) in The Journal of Business 63(1) February with Reads How we measure 'reads'.

Pricing Stock Index Futures Stock index futures cannot be expected to trade at a level that is precisely aligned with the spot or cash value of the associated stock index. The difference between the futures and spot values is often referred to as the basis.

We generally quote a stock index futures basis as the futures price less the spot. OPTIMAL ARBITRAGE STRATEGIES ON STOCK INDEX FUTURES UNDER an arbi-trageur can lock in the profit of a positive (negative) arbitrage basis in a stock index futures by adopting a short (long) futures strategy.

In addition, the arbitrageur may improve the arbitrage profit by adopting the so-called early unwinding strategy of liquidating the Cited by: "Early unwindings and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects," Journal of Futures Markets, John Wiley & Sons, Ltd., vol.

9(2), pagesApril. Whether you think a CAC is the sound your cat makes when coughing up a hairball or a stock index in France, if you're a new investor or an experienced trader this book is an excellent reference to stock indexes worldwide.

Susan Abbott Gidel starts with a brief history of the index and futures markets/5(4). Index Arbitrage: An investment strategy that attempts to profit from the differences between actual and theoretical futures prices of the same stock index.

Author: Gordon Scott, CMT. This study investigates the time series properties of 5-minute, intraday returns of stock index and stock index futures contracts, and finds that S&P and MM index futures returns tend to lead.

The full text of this article hosted at is unavailable due to technical difficulties. Early unwindings and rollovers of stock index futures arbitrage programs: analysis and implications for predicting expiration day effects Journal of Futures Markets, 9 (), pp. Google ScholarCited by: 2.

MacMnlay, C.A. and K. Ramaswamy,Index-futures arbitrage and the behavior of stock index futures prices, The Review of Financial Studies 1, no. 2, Merrick, J.J. Jr.,Early unwindings and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects, The Journal of Cited by: a.

Financial futures protect the investment portfolio against inflation in the economy. Investors seek protection against the increasing volatility of interest rates. Unlike commodity futures, factors that influence price shifts are not supply and demand of the commodity but buyer psychology.

Merrick, J. (): Early Unwindings and Rollovers of Stock Index Futures Arbitrage Programs: Analysis and Implications for Predicting Expiration Day Effects, in: The Journal of Futures Markets, Vol. 9, S.

Google ScholarAuthor: Wolfgang Bühler, Alexander Kempf. INTRADAY STOCK INDEX FUTURES ARBITRAGE WITH TIME LAG EFFECTS Merrick () examines early unwindings and rollovers of arbitrage positions to determine if such dynamic strategies affect the profits of such transactions.

Although only daily S&P arbitrage of stock index futures markets creates difficulties in. Exchange Traded Funds and E-mini Stock Index futures was not only highly educational, it will help boost my investment returns and help save thousands of dollars in annual fees/expenses as well.

I particularly liked the asset allocation section and appreciated how easy it is to construct portfolios with Spiders, QQQs and other by: 5. Futures Arbitrage. A futures contract is a contract to buy (and sell) a specified asset at a fixed price in a future time period. There are two parties to every futures contract - the seller of the contract, who agrees to deliver the asset at the specified time in the future, and the buyer of the contract, who agrees to pay a fixed price and take delivery of the asset.

Keywords: Stock index futures, Arbitrage, Market efficiency. JEL Classification: G13, G Suggested Citation: Suggested Citation. Cummings, James R. and Frino, Alex, Index Arbitrage and the Pricing Relationship between Australian Stock Index Futures Cited by: The research of arbitrage on stock index futures is derived from the study of stock index futures contract pricing by Cornell and French ().

They put forward the cost of carry model, which is the stock index futures contract pricing under the assumption of perfect capital market. On this basis, Cornell and French made an empirical research Author: Xue Mi. In the index arbitrage world, we want to know how the futures are trading versus their "fair value." The fair value of the futures vs.

the cash index (underlying stock basket) is the difference in Author: Kid Dynamite. Index arbitrage and the pricing relationship between Australian stock index futures and their underlying shares Abstract This paper examines the mispricing of Australian stock index futures. Exogenous and endogenous price volatility is confirmed to have a positive impact on the mispricing spread,Cited by: Index arbitrage is a subset of statistical arbitrage focusing on index components.

The idea is that an index (such as S&P or Russell ) is made up of several components (in the example, large US stocks picked by S&P to represent the US market) that influence the index price in a different manner. For instance, there are leaders (components that react first to market impact) and.

In Section 1 we discuss some considerations of the behavior of futures and index prices after describing the well-known and commonly used pricing model. Section 2 provides the empirical results, and we conclude in Section 3.

1. Arbitrage Strategies and Cited by: Fair value, buy-sell index arbitrage program trading values, and program trading probability and decay-to-expiration graphs are updated daily. Index metrics include stock listings sorted by price change vs. the index, dividend yield, weight in the index, and capitalization.

A calculator facilitates program trading what-if .The strategy of buying or selling a basket of stock while making an offsetting trade in stock-index futures or options.

Stock-index arbitrage is designed to take advantage of the temporary discrepancies in value between stock and the index futures or options.