What about looking for arbitrage opportunities in smaller places where the big fish "can't swim." Options on the SPY, DIA, QQQQ vs ES, YM , NQ etc for example? Also, there may be some value in the work that was done for JArbitrager in general in the area of long-short pair trading. For example, maybe I want to bet on the spread between one financial ETF ( like the XLF ) and another when certain conditions exist.
nonlinear5 wrote: >> I am extremely interested in JArbitrager and was myself looking to >> achieve something similar. Can you let me know when you will be >> publishing the same? >> > > > After running JArbitrager using the YM/DIA and the ES/SPY pairs for > several days, I determined that these instruments have been arbitraged > to death (presumably by large institutional program trading), and > there is nothing left for us small traders. The spreads between YM/DIA > and ES/SPY remain nearly constant through the day, so there is nothing > to arbitrage. This has been confirmed by other folks who initially > reported profitable results, only to realize later that they didn't > account fully for the transaction costs. So, I will not be publishing > JArbitrager, as there is no profit potential. > > > > > > > > > --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
