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The impacts of large trades by trader types on intraday futures prices: Evidence from the Taiwan Futures Exchange

✍ Scribed by Robin K. Chou; George H.K. Wang; Yun-Yi Wang; Johan Bjursell

Book ID
116816925
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
670 KB
Volume
19
Category
Article
ISSN
0927-538X

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## Abstract This study examines the impact of execution delay on the profitability of put‐call‐futures quasi‐arbitrage strategies using trade and quote data in the Taiwanese market. Assuming order execution at the next immediate price following a mispricing signal, the execution of individual compo