... suggest that the effectiveness of the stock futures market policy is limited during the sample period and the additional measures to enhance the long term activation are needed. Single Stock Futures Price Discovery Arbitrage Trading Market Maker Liquidity © 2018 Emerald Publishing Limited...

... on average. Third, pairs trading opportunities occur uniformly throughout the day, but profit tends to increase in the afternoon than in the morning. This indicates that price efficiency in options market deteriorates and profit of arbitrage trading with price disparity is higher in the afternoon than...

... and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode Mini Options Regular Options Arbitrage Trading Price Discovery Liquidity ...

... of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode Mini Futures Regular Futures Arbitrage Trading Price Discovery...

... direction. Second, the average time period for an arbitrage opportunity was two seconds so arbitrage transactions were feasible indeed. Third, nevertheless, some arbitrage transactions ended up with a loss because the estimated spot price at maturity to carry out an arbitrage trading turned out...

...-run Component of Volatility Sort-run Component of Volatility Intra-day Volatility Program Trading Arbitrage Trading CEGARCH ...