Chen, Rongda; Li, Cong; Wang, Weijin; Wang, Ze - In: Physica A: Statistical Mechanics and its Applications 398 (2014) C, pp. 210-216
This paper constructs the positive arbitrage position by alternating the spot index with Chinese Exchange Traded Fund (ETF) portfolio and estimating the arbitrage-free interval of futures with the latest trade data. Then, an improved Delta-normal method was used, which replaces the simple linear...