The profitability of index futures arbitrage: evidence from bid-ask quotes

Article Abstract:

Bid-ask quotes are more accurate than transaction price information in providing a set of data through which stock index futures profitability could be evaluated. An examination of data for the index options and index futures market in Hong Kong reveals that when bid-ask quotes are utilized, the number of observed violations of no arbitrage bounds is substantially decreased. This correlation shows that a more widescale mispricing does not necessarily lead to better yielding arbitrage chances.

Hong Kong, Stock index futures

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The effectiveness of arbitrage and speculation in the crude oil futures market

Article Abstract:

Arbitrage and speculation are two factors affecting the relationship between spot and futures prices for commodities. The difference between these two prices, called the basis, is examined for the oil industry. A model that generates the prices of petroleum futures is developed and tested using price data for West Texas Intermediate. The results indicate that arbitrage plays a more significant role than speculation in determining crude oil futures prices.

Research, Speculation, Futures market, Futures markets, Petroleum, Futures

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Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates

Article Abstract:

The investor who readily recognized the occurrence of arbitrage activities can also compute for the profits after a continued round of arbitrage since the time when it occurred is stable. The investor's role as a microagent lets him exploit the opportunity in any misplaced market. The whole market, however, is not disturbed with microagent's trillion- or few billion-dollar while a simultaneous action from large market participants can make it chaotic.

Interest rates, Foreign exchange market

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