Margin exceedences for European stock index futures using extreme value theory

Article Abstract:

The extreme value theory in margin trading for European stock index futures is investigated. Common requirements for margin trading are sufficient to provide equitable trading costs.

Europe, Margins (Security trading), Margins (Securities trading), Margins (Futures trading)

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Sensitivity analyses of anomalies in developed stock markets

Article Abstract:

The anomalies in developed stock exchanges using a variety of analyses are discussed. There is no consensus regarding the specifications of stock market anomalies.

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Index arbitrage with heterogeneous investors: a smooth transition error correctional analysis

Article Abstract:

A model for stock index futures using the Dow Jones Industrial Average is investigated. Price equilibrium varies with mispricing.

United States, Investments, Arbitrage

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