This paper examines the determinants of the time it takes for an index options marketto be brought back to efficiency after put-call parity deviations, using intraday transactionsdata from the French CAC 40 index options over the August 2000 – July 2001 period. Weaddress this issue through...

This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through...

This paper examines the determinants of the time it takes for an index options market to return to no arbitrage values after put-call parity deviations, using intraday transactions data from the French index options market. We employ survival analysis to characterize how limits to arbitrage...

ETF markets generally provide high levels of liquidity but occasionally break down under turbulent conditions. We show that this seemingly ambivalent behavior can optimally arise in an inventory model of market making that explicitly accounts for the ETF specific dual trading structure. Our...

We survey the litterature devoted to Exchange Traded Funds