Investigation of market impacts of arbitrage trading between an ETF and its underlying assets using an agent-based simulation-Reference-Cited by-同舟云学术

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Investigation of market impacts of arbitrage trading between an ETF and its underlying assets using an agent-based simulation

Published:2024-09 Issue: Volume:67 Page:105862
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Yagi Isao^ORCID,Guan Xin,Mizuta Takanobu^ORCID

Publisher

Elsevier BV

Reference28 articles.

1. The ETF Handbook: How to Value and Trade Exchange Traded Funds;Abner,2016

2. ETFs: 3 levels of liquidity for greater market access;American Century Investment,2024

3. Asset pricing under endogenous expectations in an artificial stock market;Arthur,1997

4. Learning about unprecedented events: Agent-based modelling and the stock market impact of COVID-19;Bazzana;Finance Res. Lett.,2023

5. Do ETFs increase volatility?;Ben-David;J. Finance,2018

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