Browsing COFIN_Articles by Keyword "arbitrage opportunities"
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Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models
Elsevier (2020-04-08)This paper analyzes the impact of arbitrage opportunity changes on the price discovery process between the DAX30 index and the DAX30 index future within a short time scale. To this end, we use 5-min data, regime-switching ...