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Index Arbitrage Profitability
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Index Arbitrage Profitability (1993)Index Arbitrage ProfitabilityArbitrage opportunities and feedback trading in emissions and energy markets (2015)Arbitrage opportunities and f…A quantum model of option pricing: When Black–Scholes meets Schrödinger and its semi-classical limit (2010)A quantum model of option pri…The limits to stock index arbitrage: Examining S&P 500 futures and SPDRS (2008)The limits to stock index arb…Order Imbalance and the Pricing of Index Futures (2006)Order Imbalance and the Prici…Nonlinear dynamics and competing behavioral interpretations: Evidence from intra‐day FTSE‐100 index and futures data (2006)Nonlinear dynamics and compet…Price Expectation and the Pricing of Stock Index Futures (2004)Price Expectation and the Pri…Trading intensity, volatility, and arbitrage activity (2003)Trading intensity, volatility…Discretionary government intervention and the mispricing of index futures (2003)Discretionary government inte…The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship (2002)The effect of the introductio…The Benefits of Rebalancing (2002)The Benefits of RebalancingMean reversion in stock index futures markets: A nonlinear analysis (2002)Mean reversion in stock index…Index arbitrage with heterogeneous investors: A smooth transition error correction analysis (2001)Index arbitrage with heteroge…SETS, arbitrage activity, and stock price dynamics (2000)SETS, arbitrage activity, and…Dax index futures: Mispricing and arbitrage in German markets (1995)Dax index futures: Mispricing…Program Trading and Intraday Volatility (1994)Program Trading and Intraday …Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data test (1993)Intraday relationships among …A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)New trading practices and short‐run market efficiency (1995)Order characteristics and stock price evolution An application to program trading (1996)The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks (2001)Noise Trader Risk in Financial Markets (1990)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)The Limits of Arbitrage (1995)Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs? 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  • 1994Program Trading and Intraday Volatility70 cited
  • 2000SETS, arbitrage activity, and stock price dynamics66 cited
  • 1995Dax index futures: Mispricing and arbitrage in German markets62 cited
  • 2001Index arbitrage with heterogeneous investors: A smooth transition error correction analysis62 cited
  • 2002Mean reversion in stock index futures markets: A nonlinear analysis54 cited
  • 1993Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data test50 cited
  • 2008The limits to stock index arbitrage: Examining S&P 500 futures and SPDRS49 cited
  • 2010A quantum model of option pricing: When Black–Scholes meets Schrödinger and its semi-classical limit45 cited
  • 2003Discretionary government intervention and the mispricing of index futures39 cited
  • 2002The Benefits of Rebalancing38 cited
  • 2002The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship38 cited
  • 2006Nonlinear dynamics and competing behavioral interpretations: Evidence from intra‐day FTSE‐100 index and futures data37 cited
  • 2015Arbitrage opportunities and feedback trading in emissions and energy markets29 cited
  • 2004Price Expectation and the Pricing of Stock Index Futures

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27 cited
  • 2003Trading intensity, volatility, and arbitrage activity25 cited
  • 2006Order Imbalance and the Pricing of Index Futures23 cited