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Volumn 30, Issue 12, 2006, Pages 2793-2822

Financially constrained arbitrage in illiquid markets

Author keywords

Arbitrage; Constraints; Illiquidity

Indexed keywords


EID: 33748998732     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2005.09.005     Document Type: Article
Times cited : (7)

References (14)
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    • Losing money on arbitrage: optimal dynamic portfolio choice in markets with arbitrage opportunities
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    • Liu, J.1    Longstaff, F.2
  • 8
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    • Loewenstein, M., Willard, G., 2000. Convergence trades and liquidity: a model of hedge funds. Working paper, MIT.
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    • Program trading and the behavior of stock index futures contracts
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  • 10
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    • Early unwindings and rollovers of stock index futures arbitrage program analysis and implications for predicting expiration day effects
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    • Merrick, J.1
  • 11
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    • Contagion as a wealth effect: discussion
    • Ross S. Contagion as a wealth effect: discussion. Journal of Finance 56 (2001) 1440-1443
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    • Arbitrage with holding costs: a utility based approach
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  • 14
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    • Convergence trading with wealth effects
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.