Arbitrage opportunities between NYSE and XETRA?: A comparison of simulation and high frequency data
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Keywordsfinancial markets; simulation; no-arbitrage condition; stochastic processes;
- C00 - Mathematical and Quantitative Methods - - General - - - General
- D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-09 (All new papers)
- NEP-CMP-2011-04-09 (Computational Economics)
- NEP-MST-2011-04-09 (Market Microstructure)
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