Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures

DOI10.1002/for.2298zbMath1397.62500OpenAlexW1782405194MaRDI QIDQ4687518

Frank McGroarty, Hamad Alsayed

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2298

zbMATH Keywords

futures marketsstatistical arbitragelead-lag relationshipsHayashi-Yoshida cross-correlation estimator

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (5)

Inference for time-varying lead-lag relationships from ultra-high-frequency data ⋮ Ultra-high-frequency lead–lag relationship and information arrival ⋮ On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect ⋮ No arbitrage and lead-lag relationships ⋮ Wavelet-Based Methods for High-Frequency Lead-Lag Analysis

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