An integer programming based strategy for Asian-style futures arbitrage over the settlement period
Author:
Affiliation:
1. Department of Mathematics, The Chinese University of Hong Kong, Hong Kong, China
2. CASH Algo Finance Group, Hong Kong, China
Publisher
IOS Press
Subject
Computational Mathematics,Computer Science Applications,Computer Vision and Pattern Recognition,Finance
Reference15 articles.
1. Expiration day effects of index futures and options: Evidence from a market with a long settlement period;Alkebäck;Applied Financial Economics,2004
2. Expiration-day effects of index futures and options: Some Canadian evidence;Chamberlain;Financial Analysts Journal,1989
3. Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data test;Chan;Journal of Banking & Finance,1993
4. Expiration day effects: The case of Hong Kong;Chow;Journal of Futures Markets,2003
5. A transactions data test of stock index futures market efficiency and index arbitrage profitability;Chung;The Journal of Finance,1991
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