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Statistical arbitrage using stock market indexes
Index arbitrage is a subset of statistical arbitrage focusing on index components. An index (such as S&P 500) is made up of several components (in the
Index_arbitrage
Type of algorithmic trading
profits for all high frequency trading were US$5 billion in 2009. Index arbitrage exploits index tracker funds which are bound to buy and sell large volumes
High-frequency_trading
Global stock market crash
and stocks was quickly noted by index arbitrage traders who tried to profit through sell at market orders. Index arbitrage, a form of program trading, added
Black_Monday_(1987)
Type of trading in securities
by hedge funds and other institutional investors pursuing index arbitrage or other arbitrage strategies. There are essentially two reasons to use program
Program_trading
Type of mutual fund or exchange-traded fund
underlying securities in the index that they track. This allows algorithmic trading to take advantage of index arbitrage by anticipating and trading ahead
Index_fund
Practice of trading financial instruments using a firm's own money
variety of strategies such as index arbitrage, statistical arbitrage, merger arbitrage, fundamental analysis, volatility arbitrage, or global macro trading
Proprietary_trading
Method of executing orders
between the S&P 500 equity and futures markets in a strategy known as index arbitrage. At about the same time, portfolio insurance was designed to create
Algorithmic_trading
American market making firm
algorithmic trading. Jane Street denied all wrongdoing, stating it was basic index arbitrage. On July 21, 2025, SEBI lifted the trading ban placed on Jane Street
Jane_Street_Capital
strategies including index arbitrage, warrant arbitrage, stock class arbitrage, convertible bond arbitrage, volatility arbitrage, volatility dispersion
Artradis
Defunct American hedge fund
S&P 500 Yield curve trades Short high-tech stocks Convertible arbitrage Index arbitrage Fixed income securities pay a set of coupons at specified dates
Long-Term_Capital_Management
Financial derivative contract
yield. Another type of arbitrage, that is common with equities, is called Index Arbitrage. In dividend futures, Index Arbitrage consists of taking spread
Dividend_future
Asset pricing theory
In finance, arbitrage pricing theory (APT) is a multi-factor model for asset pricing which relates various macro-economic (systematic) risk variables
Arbitrage_pricing_theory
Financial derivatives with no optionality
activities, such as dividend trading, equity financing and equity index arbitrage. FT Alphaville has described delta one trading as "one of the hottest
Delta_one
Financial portfolio of several securities
or hedge stock market index positions. This is common in index arbitrage, where traders exploit price differences between an index futures contract and
Basket_(finance)
Topics referred to by the same term
trade, a leveraged arbitrage strategy exploiting price differences between Treasury securities and futures contracts Index arbitrage, a strategy that exploits
Basis
Investment strategy
Risk arbitrage, also known as merger arbitrage, is an investment strategy that speculates on the successful completion of mergers and acquisitions. An
Risk_arbitrage
we’ll skip that topic for now." Mou, Yiqun (2011). Limits to Arbitrage and Commodity Index Investment. Columbia University (Thesis). doi:10.7916/D8H41ZDD
Goldman_roll
Standardised contract to buy or sell an asset at a future date
the price of a futures contract is determined via arbitrage arguments. This is typical for stock index futures, treasury bond futures, and futures on physical
Futures_contract
Investment fund traded on stock exchanges
efficacy of the arbitrage mechanism in order for their share price to track net asset value. ETFs had their genesis in 1989 with Index Participation Shares
Exchange-traded_fund
2004 book by Ben Mezrich
recounts the exploits of an American called John Malcolm (a pseudonym) arbitraging index futures in Japan in the 1990s. The book was released on May 4, 2004
Ugly_Americans_(book)
South Korean stock market index
Commission. 28 November 2008. Ahn, Chun Youp; Byoun, Soku; Park, Hun Y. "Arbitrage Opportunities and Efficiency of an Emerging Option Market: The Case of
KOSPI_200
Investment strategy
portfolio insurance model or strategy. Both portfolio insurance and index arbitrage are commonly cited as two types of computer program trading which contributed
Portfolio_insurance
Indian businessman
London's exotic options commidities trading desk in 2008, he built an index arbitrage tool for commodity indices. Later in 2010, after Merrill Lynch was
Rohit_Chadda
Academic discipline concerned with the exchange of money
allow profitable arbitrage, i.e. they comprise an arbitrage-free market, then these prices are also said to constitute an "arbitrage equilibrium". Intuitively
Financial_economics
Index of awards with the same name
Allied Commission in the Armistice Agreement with Romania in 1944. This set index article lists award articles associated with the same name (or similar names)
Vienna_Award
Corporate structure type
trying to exploit the mispricing by setting up arbitrage positions in such circumstances. These arbitrage strategies involve a long position in the relatively
Dual-listed_company
Agricultural stock index in India
essentially, the no-arbitrage price if one were to buy futures on the spot index. This price is derived by tracking the futures prices of the index components
NCDEX_Commodity_Index
Investments other than stocks, bonds and cash
does not include option income funds, tactical shorting and leveraged indexed funds. There has been expressed skepticism over the complexity of liquid
Alternative_investment
8 (4): 263–365. doi:10.1561/0500000044. Holden, Craig W. (1991). "Index Arbitrage and The Media". Financial Analysts Journal. 47 (5): 8–9. JSTOR 4479464
Craig_W._Holden
How equities and debt instruments are valued
Rational pricing, derivative prices are calculated such that they are arbitrage-free with respect to more fundamental (equilibrium determined) securities
Asset_pricing
Concept in economics
law is derived from the assumption of the inevitable elimination of all arbitrage. See Rational pricing § The law of one price. The intuition behind the
Law_of_one_price
Type of financial contract
placing arbitrage bounds on its traded value. These arguments extend to fixed-income securities more generally, in fact requiring arbitrage-consistency
Derivative_(finance)
demand – Aggregate supply – Agricultural policy – Appropriate technology – Arbitrage – Arrow's impossibility theorem – Asymmetric information – Auction – Austrian
Index_of_economics_articles
Arbitrage strategy
Basis trading is a market-neutral arbitrage strategy that exploits the price difference between a price of an asset and its corresponding future market
Basis_trading
Privately pooled investment fund using diverse strategies to seek high returns
market. Risk arbitrage or merger arbitrage includes such events as mergers, acquisitions, liquidations, and hostile takeovers. Risk arbitrage typically involves
Hedge_fund
Shares into which ownership of the corporation is divided
the original on 7 September 2008. Retrieved 12 February 2010. "Arbitrage: How Arbitraging Works in Investing, with Examples". Archived from the original
Stock
Stochastic volatility model used in derivatives markets
arbitrage-free variables, e.g. normal. This will guarantee equality in probability at the collocation points while the generated density is arbitrage-free
SABR_volatility_model
Investment strategy
Investment strategy Arbitrage / relative value Capital structure arbitrage Convertible arbitrage Equity market neutral Fixed income arbitrage / fixed-income
Fund_of_funds
Application of mathematical and statistical methods in finance
options; Financial modeling; Asset pricing. The fundamental theorem of arbitrage-free pricing is one of the key theorems in mathematical finance, while
Mathematical_finance
economics Outline of finance Outline of marketing Outline of production Index of accounting articles Outline of commercial law List of business theorists
Index of international trade articles
Index_of_international_trade_articles
French small-cap stock market index
composed of the following 179 companies: 2CRSI AST Groupe AB Science ABC Arbitrage ABEO Abionyx Pharma SA Abivax Acteos ACTIA Group ADLPartner Adocia AdUx
CAC_Small
Investment fund using mathematical methods
as arbitrage or momentum following, as quant traders assume that prices will eventually converge (which constitutes basis for statistical arbitrage), or
Quantitative_fund
Financial swap agreement in case of default
market in CDS. In addition, CDSs can also be used in capital structure arbitrage.[citation needed] As an example, imagine that an investor buys a CDS from
Credit_default_swap
Italian businessman and con artist (1882–1949)
other countries and redeeming them at face value in the U.S. as a form of arbitrage. In reality, Ponzi was paying earlier investors using the investments
Charles_Ponzi
Risk and portfolio management trading firm (2017–2022)
Cryptocurrency Bitcoin Arbitrage Multinational Stuff, no one's going to give you a bank account". In January 2018, Bankman-Fried organized an arbitrage trade to take
Alameda_Research
Price predictability unexpected by theory
market anomalies are (1) mispricing, (2) unmeasured risk, (3) limits to arbitrage, and (4) selection bias. Academics have not reached a consensus on the
Market_anomaly
Exchange of derivatives or other financial instruments
is first initiated, otherwise one party would be at an advantage, and arbitrage would be possible; however after this time its value may become positive
Swap_(finance)
theorem (economics) Folk theorem (game theory) Fundamental theorem of arbitrage-free pricing (financial mathematics) Fundamental theorems of welfare economics
List_of_theorems
American businessman
early and mid 2000s with his credit default swap and capital structure arbitrage trading strategies. He then formed a proprietary trading group within
Boaz_Weinstein
Term in options trading
500 index LEAPS market". The Journal of Derivatives. 8 (4): 62–71. doi:10.3905/jod.2001.319163. S2CID 154906523. The box-spread reveals an arbitrage profit
Box_spread
Trading modality
trading strategies were developed by major banks, including statistical arbitrage, trend following and mean reversion. High-frequency trading strategies
Systematic_trading
Professionally managed investment fund
categorized as index funds, which are passively managed funds that track the performance of an index, such as a stock market index or bond market index, or actively
Mutual_fund
Phenomenon in economics and accounting
news. The delay may be due to: Limits-to-arbitrage - Trading frictions, transaction costs, and limited arbitrage prevent rapid price adjustment. Studies
Post–earnings-announcement drift
Post–earnings-announcement_drift
Type of performance-based marketing
click search engines to promote the advertisers' offers (i.e., search arbitrage) Price comparison service websites and directories Loyalty websites, typically
Affiliate_marketing
Stock market
risk hedging, arbitrage, and effective management of a portfolio of individual stocks or with the help of a futures on the RTS Index. In 2004, according
Russian_Trading_System
Financial term for a collection of investments
capital asset pricing model, arbitrage pricing theory, the Jensen Index, the Treynor ratio, the Sharpe diagonal (or index) model, the value at risk model
Portfolio_(finance)
Situation when futures prices are above the expected spot price at maturity
convenience yield), and because there are few holders who can make an arbitrage profit by selling the spot and buying back the future. A market that has
Contango
Financial investment strategy
neutrality requires specifying the risk to avoid. For example, convertible arbitrage attempts to fully hedge fluctuations in the price of the underlying common
Market_neutral
Puerto Rican actor, singer, recording artist (1937–2016)
Right Thing, Impulse, 13 Conversations About One Thing, Double Take, and Arbitrage. His last screen credit was the 2013 film Broken City. On TV, Elliott
Shawn_Elliott_(actor)
Concept in Mathematical Finance
rational pricing, which assumes that market prices are arbitrage-free – concretely, arbitrage opportunities are exploited by constructing a replicating
Replicating_portfolio
Linear interest rate derivative involving exchange of interest rates between two parties
for the same fixed rate. Interest rate swaps are also popular for the arbitrage opportunities they provide. Varying levels of creditworthiness means that
Interest_rate_swap
American financial speculator (born 1962)
statistical arbitrage pioneer Victor Niederhoffer at his firm, NCZ Commodities. He then created his own firms. He has traded stocks, stock index futures,
Monroe_Trout
British insurance company
Archived from the original on 28 April 2013. Retrieved 26 June 2013. "Arbitrage Discovered". Bloomberg L.P. 27 February 2015. Archived from the original
Aviva
aggregate. In a theoretical efficient market equilibrium with no barriers to arbitrage, an investment strategy of investing in a futures contract should be no
Roll_yield
linked; stock and bond markets were internationally linked; international arbitrage activities were no strangers; and commercial and investment banks in major
Financial_integration
Financial derivative
which by hypothesis, is positive. This is an arbitrage profit. Consequently, and assuming that the non-arbitrage condition holds, we have a contradiction
Forward_contract
Stationary subspace analysis Statistic STATISTICA – software Statistical arbitrage Statistical assembly Statistical assumption Statistical benchmarking Statistical
List_of_statistics_articles
Treasury basis trading: bond and futures arbitrage strategy
United States, this type of government bond arbitrage is often referred to as "cash and carry arbitrage" [de] or simply a "carry trade." Leveraged hedge
Treasury_basis_trade
American businessman (born 1961/1962)
department of Salomon Brothers and then became a managing director in the bond arbitrage group run by John Meriwether. In 1993, he co-founded Long-Term Capital
Victor_Haghani
Selling unowned financial securities
funds Mutual fund Closed-end fund Exchange-traded fund (ETF) Hedge fund Index fund Segregated fund Structured finance Securitization Agency security Asset-backed
Short_(finance)
American hedge fund
firm founded by employees who were previously part of the statistical arbitrage proprietary trading group (QSA) of Merrill Lynch & Co . In 2015, Schonfeld
Schonfeld_Strategic_Advisors
Financial agreement
Swap Funding". Deribit Insights. Retrieved 2023-04-10. "Cryptocurrency Arbitrage Trading: A Comprehensive Guide". cashbitex.com. Retrieved 2023-11-12.
Perpetual_futures
Foreign exchange trading indicator
Drożdż, Stanisław (2019-11-01). "Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations
Currency_strength
Investment position used to offset potential losses in another asset
government. See capital control. Interest rate parity and Covered interest arbitrage: The simple concept that two similar investments in two different currencies
Hedge_(finance)
Type of interest rate swap
financial institutions, and regulatory capital requirements that limit arbitrage activity. Interest rate swap Basis trading Financial Industry Business
Basis_swap
Increasing worldwide interdependence
the most widely-cited definition" in the 2014 DHL Global Connectiveness Index. Swedish journalist Thomas Larsson, in his book The Race to the Top: The
Globalization
US government debt instruments
Treasury bonds were persistently mispriced relative to TIPS, creating arbitrage opportunities and posing "a major puzzle to classical asset pricing theory"
United States Treasury security
United_States_Treasury_security
Method for constructing a fixed-income yield curve
the next instrument. When solved as described here, the curve will be arbitrage free in the sense that it is exactly consistent with the selected prices;
Bootstrapping_(finance)
President of Argentina since 2023
inversión extranjera directa". Ambito. Retrieved 2 July 2025. "Currency arbitrage costs Milei US$2 billion a month in Argentina" from Buenos Aires Times
Javier_Milei
General term for rules, including delegated legislation and self-regulation
Ecopreneurship Externality Financial crisis Globalization Global labor arbitrage Market economy Market failure Merchantilism Meritocracy Multinational
Regulation
Cash value life insurance in the US
UL policy on a single premium or limited premium basis, creating tax arbitrage when the costs of insurance are paid from untaxed excess interest credits
Universal_life_insurance
Quantitative asset management firm based in Berkeley, California
contracts with all former employees. The firm engages in statistical arbitrage by going through data to find trading signals and patterns related to
The_Voleon_Group
Federal Reserve bank loan program
noted that new loans had "all but dried up" after the Fed shut down the arbitrage advantages in late January, with the program's credit outstanding holding
Bank_Term_Funding_Program
Complexity Big Mac Index Brandt Report Corruption Perceptions Index Democracy Index Democracy-Dictatorship Index Ease of doing business index Economic Freedom
List of globalization-related indices
List_of_globalization-related_indices
Type of financial instrument
has a distinctive gamma (convexity) profile resulting in rational, no arbitrage, pricing adjustments. This adjustment is called futures convexity adjustment
Forward_rate_agreement
Insurance purchased by an insurance company
business and/or at larger limits. The insurance company may be motivated by arbitrage in purchasing reinsurance coverage at a lower rate than they charge the
Reinsurance
American commodities trader
high-volume trader engaging in various complex trading styles including arbitrage between New York and Chicago gold as well as London and New York sugar
Marjorie_Heidsieck
Interest charged to credit card users
the effect over the entire year provides only a trivial opportunity for arbitrage. In effect, differences in methods mostly act upon the fluctuating balance
Credit_card_interest
Over-the-counter financial derivative
_{\text{strike}}^{2}\mid {\mathcal {F}}_{t_{0}}]\times N_{\text{var}}.} To avoid arbitrage opportunity, there should be no cost to enter a swap contract, meaning
Variance_swap
Type of financial fraud
took in. His original scheme was purportedly based on the legitimate arbitrage of international reply coupons for postage stamps, but it proved infeasible
Ponzi_scheme
Mathematical theory for analyzing stock market structure and portfolio behavior
number T > 0 {\displaystyle T>0} , we say that π {\displaystyle \pi } is arbitrage relative to ρ {\displaystyle \rho } over the time-horizon [ 0 , T ] {\displaystyle
Stochastic_portfolio_theory
Social and economic model in Nordic countries
adult List of international rankings Press Freedom Index Social Progress Index Where-to-be-born Index Simon, Carsta (20 December 2017). "Why Norwegians
Nordic_model
Finance term
Credit Research. Brigo, Damiano and Massimo Morini (2008). "Arbitrage-free pricing of Credit Index Options. The no-armageddon pricing measure and the role
Credit_default_option
Financial mathematical measure
volatility surface (Schonbusher, SVI, and gSVI) as well as their de-arbitraging methodologies. See stochastic volatility and volatility smile for more
Implied_volatility
Model in finance
measure, is one which is equivalent to the real-world measure, and which is arbitrage-free: under such a measure, the discounted price of each of the underlying
Heston_model
Economic theory that asset prices fully reflect all available information
assuming that there is no arbitrage, that is, assuming that there is no risk-free way to trade profitably. Formally, if arbitrage is impossible, then the
Efficient-market_hypothesis
American businessman (born 1962)
worked as an intern at Goldman Sachs, and then worked in the firm's risk arbitrage department from March 1985 to February 1988. While there, he worked directly
Eddie_Lampert
Indian financial services firm
deccanchronicle.com. 2025-09-25. Retrieved 2026-03-06. "Kotak Income Plus Arbitrage Fund crosses ₹5,000 crore AUM within a month - CNBC TV18". CNBCTV18. 2025-09-03
Kotak Mahindra Asset Management Company
Kotak_Mahindra_Asset_Management_Company
Digital asset using a distributed ledger
trade at the optimal price. As a result, as of 2020, it was possible to arbitrage to find the difference in price across several markets. Atomic swaps are
Cryptocurrency
example, we can convert classical arbitrage theory into differential-geometric language (also called geometric arbitrage theory). For the reader's convenience
Stochastic analysis on manifolds
Stochastic_analysis_on_manifolds
travel, tourism, insurance
INDEX ARBITRAGE
INDEX ARBITRAGE
Surname or Lastname
English
English : occupational name for an officer of justice or a nickname for a solemn and authoritative person thought to behave like a judge, from Middle English, Old French juge (Latin iudex, from ius ‘law’ + dicere to say), which replaced the Old English term dēma. Compare Dempster.Irish : part translation of Gaelic Mac an Bhreitheamhain, later Mac an Bhreithimh ‘son of the judge (breitheamhnach)’. Compare Brain.
Boy/Male
Sikh
Lakh-w-inder-meaning is the Man who has defeated lakhs of inders indian Lord Indra)
Boy/Male
Hindi
Supreme god.
Male
French
Variant spelling of French Adrien, ANDRION means "from Hadria." This form of the name can be found in An Index to the Given Names in the 1292 Census of Paris, by Colm Dubh.Â
Boy/Male
Tamil
Inder Kant | இநà¯à®¤à®°à®•à®¾à®¨à¯à®¤
Indra devta
Inder Kant | இநà¯à®¤à®°à®•à®¾à®¨à¯à®¤
Girl/Female
Welsh
Legendary daughter of GanKy.
Girl/Female
Indian
Light of Lord Inder
Girl/Female
Hindu, Indian
Index Finger
Boy/Male
Sikh
Ruler of all that is wild and untamed., Born of tooth and fang
Surname or Lastname
English and Scottish
English and Scottish : probably a variant of Sewatt, which is from the common Old Norse personal name Sigvarðr, composed of sigr ‘victory’ + varðr ‘guardian’. The International Genealogical Index records several UK ancestors called Suit(t), though the name is hardly found in Britain today.
Boy/Male
Bengali, Celebrity, Gujarati, Hindu, Indian, Kannada, Marathi, Punjabi, Sanskrit, Sikh, Sindhi, Traditional
The God of Weather and War; Lord of the Devas; King of Gods
Girl/Female
American, Australian, British, English
The Country India
Boy/Male
Sikh
Protector of Indra, Variant of Inder
Boy/Male
Indian, Punjabi, Sikh
Pushp means Flower and Inder is a God; Better
Boy/Male
Hindu
Indra devta
Girl/Female
Indian, Sikh
Love with (God) Inder
INDEX ARBITRAGE
INDEX ARBITRAGE
INDEX ARBITRAGE
INDEX ARBITRAGE
INDEX ARBITRAGE
INDEX ARBITRAGE
INDEX ARBITRAGE
travel, tourism, insurance