Optimal arbitrage strategies on stock index futures under position limits

C-Tier

Journal: Journal of Futures Markets

Year: 2011

Volume: 31

Issue: 4

Pages: 394-406

Authors (3)

Min Dai (English) Yifei Zhong (not in RePEc) Yue Kuen Kwok (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count