Stock Index Arbitrage in the Turkish Market

2015 ◽  
Author(s):  
Ronald T. Slivka ◽  
Canel Biryol
Keyword(s):  
Stock Index ◽  
Index Arbitrage

ESTABLISHING AN INDEX ARBITRAGE MODEL BY APPLYING NEURAL NETWORKS METHOD — A CASE STUDY OF NIKKEI 225 INDEX

2001 ◽  
Vol 11 (05) ◽  
pp. 489-496
Author(s):  
AN-PIN CHEN ◽  
CHIEH-YOW CHIANGLIN ◽  
HISU-PEI CHUNG
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Stock Index ◽  
The Neural Network ◽  
Time Period ◽  
Network Method ◽  
Index Arbitrage ◽  
Impact Risk ◽  
Cost Of Carry

This paper applies the neural network method to establish an index arbitrage model and compares the arbitrage performances to that from traditional cost of carry arbitrage model. From the empirical results of the Nikkei 225 stock index market, following conclusions can be stated: (1) The basis will get enlarged for a time period, more profitability may be obtained from the trend. (2) If the neural network is applied within the index arbitrage model, twofold of return would be obtained than traditional arbitrage model can do. (3) If the T_basis has volatile trend, the neural network arbitrage model will ignore the peak. Although arbitrageur would lose the chance to get profit, they may reduce the market impact risk.

The limits to stock index arbitrage: Examining S&P 500 futures and SPDRS

2008 ◽  
Vol 28 (12) ◽  
pp. 1182-1205 ◽  
Author(s):  
Nivine Richie ◽  
Robert T. Daigler ◽  
Kimberly C. Gleason
Keyword(s):  
Stock Index ◽  
Index Arbitrage

Stock Index Arbitrage in the Turkish Market

2015 ◽  
Vol 9 (11) ◽  
pp. 7
Author(s):  
Ronald T. Slivka ◽  
Canel Biryol
Keyword(s):  
Stock Index ◽  
Index Arbitrage
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