A random cash/futures basis is derived in a dynamic multimarket learning game with sequential information shocks and strategic arbitrageurs who trade to exploit gaps in the basis. Statistical properties of our theoretical basis are derived both with and without index arbitrage. We find that...

We study a microstructure model with non-strategic liquidity traders, Rock (1990) style value traders and possibly a strategic trader with private information. Traders optimize using market orders and schedules of price-contingent limit orders. Market depth in the different order types is...