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Harris Sofianos And Shapiro Program Trading And Intraday Volatility

Harris Sofianos And Shapiro Program Trading And Intraday Volatility
Harris Sofianos And Shapiro Program Trading And Intraday Volatility

Intraday Volatility Program trading and intraday changes in the S&P 500 Index are correlated. Future prices and, to a lesser extent, cash prices lead program trades.Index arbitrage trades are followed by an imme-diate change in the cash index,which ultimately reverses slightly.No reversal follows nonarbitragetrades.The cumulative index changes associated with buy-and-sell trades and with arbitrage andnon […]

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Harris Sofianos And Shapiro Program Trading And Intraday Volatility

Intraday Volatility

Program trading and intraday changes in the S&P 500 Index are

correlated. Future prices and, to a lesser extent, cash prices lead

program trades.Index arbitrage trades are followed by an imme-diate

change in the cash index,which ultimately reverses slightly.No reversal

follows nonarbitragetrades.The cumulative index changes associated

with buy-and-sell trades and with arbitrage andnon arbitrage trades all

are similar.Price decom positions suggest that the results are not

due to microstructure effects. Program trades in this 1989-1990 sample do

not seem to have created major short-term liquidity problems.The results

are stable within the sample...

\Intraday Volatility
   

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  • عنوان مقاله : ...Harris Sofianos And Shapiro Program
  • نوع فایل : PDF
  • حجم فایل : 250 کیلوبایت

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