Eugene, that is very interesting. Seems you would need a larger account balance to buy the SPY in equal proportions to the ES. Is the system limited to pairs or could someone say arbitrage differences between the DOW 30 stocks and the YM.
Eugene Kononov wrote: > > 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. > > > --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
