Garrett, Ian; Taylor, Nicholas - In: Studies in Nonlinear Dynamics & Econometrics 5 (2007) 2, pp. 1076-1076
We examine the intraday and interday dynamics of both the level of and changes in the FTSE (Financial Times-Stock Exchange) 100 index futures mispricing. Like numerous previous studies we find significant evidence of mean reversion and hence predictability in mispricing changes measured over...
