Ultra-High-Frequency Algorithmic Arbitrage Across International Index Futures-Reference-Cited by-同舟云学术

Ultra-High-Frequency Algorithmic Arbitrage Across International Index Futures

Published:2014-06-20 Issue:6 Volume:33 Page:391-408
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:J. Forecast.

Author:

Alsayed Hamad¹,McGroarty Frank¹

Affiliation:

1. Southampton Management School; University of Southampton; UK

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Reference52 articles.

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2. Uncovering nonlinear structure in real-time stock-market indexes: the S&P 500, the DAX, the Nikkei 225, and the FTSE-100;Abhyankar;Journal of Business and Economic Statistics,1997

3. Empirical investigation of stock index futures market efficiency: the case of the Athens derivatives exchange;Andreou;European Journal of Finance,2008

4. Modelling international price relations and interdependencies between the stock index and stock index futures markets of three EU countries: a multivariate analysis;Antoniou;Journal of Business Finance and Accounting,2003

5. Has financial integration increased during the 1990s?;Ayuso;Journal of International Financial Markets, Institutions and Money,2001

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