Investigation of market impacts of arbitrage trading between an ETF and its underlying assets using an agent-based simulation
Isao Yagi, Xin Guan, Takanobu Mizuta
| Year of publication: |
2024
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|---|---|
| Authors: | Yagi, Isao ; Guan, Xin ; Mizuta, Takanobu |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 67.2024, 2, Art.-No. 105862, p. 1-7
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| Subject: | Agent-based simulation | Arbitrage trading | Artificial market | ETF (exchange-traded fund) | Financial market | Indexderivat | Index derivative | Agentenbasierte Modellierung | Agent-based modeling | Arbitrage | Simulation | Finanzmarkt | Anlageverhalten | Behavioural finance | Wertpapierhandel | Securities trading | Investmentfonds | Investment Fund | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.105862 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015062573