We examine buy and hold and a number of rebalancing strategies on a portfolio of indices that are tracked by ETFs. The indices include Barkley's treasuries and MSCI indices on emerging markets, Pacific and European markets, value funds, and growth funds. Portfolios are rebalanced using threshold...

Equilibrium and arbitrage-based option pricing models are based on the assumption that the derivative and its underlying asset are simultaneously observable. However, empirical testing with transactions data must deal with less than perfect synchronicity and windows defining a ‘match’...

Models in financial economics derived from no-arbitrage assumptions are standard fare among theoreticians and practitioners. However, several authors have investigated the impact of short lived arbitrage on European options using models borrowed from disequilibria in physics. In this paper, we...