> > If you don't mind can you give a brief example of what kind of arbitrage > you are thinking about? > > It would be the arbitrage between the future price and the spot price of the same index (although it could be anything else). For example, the ES-SPY pair. Specifically, JArbitrager would monitor the prices of both ES-SPY, and buy one and sell short another when they get out of line. My initial instinct is that these types of opportunities rarely exist, as they have been arbitraged heavily the large institutions. However, some people in these group collected the data for about a year and found that these opportunities present themselves regularly. To verify this independently, I created JArbitrager, and I am in the process of testing it.
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