Early unwindings and rollovers of stock index futures arbitrage programs : analysis and implications for predicting expiration day effects
John J. Merrick, Jr.
| Year of publication: |
1987
|
|---|---|
| Authors: | Merrick, John J. |
| Publisher: |
Philadelphia |
| Subject: | Theorie | Theory | Index-Futures | Index futures | Arbitrage | Computerunterstützung | Computerized method |
| Extent: | 32 S |
|---|---|
| Series: | Working papers / Federal Reserve Bank of Philadelphia. - Philadelphia, Pa., ZDB-ID 2142222-9. |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10000760575