12 0 obj The other one involves S&P 500 index additions and deletions. This strategy is not a risk-free arbitrage, because there is a chance that the FX rate suddenly changes, and the trader is exposed to exchange rate risk. endobj endobj Copy URL. endobj Keywords: index arbitrage, optimal stopping, transaction costs, position limits 1. 183 Die Arbitrage gehört neben der Spekulation und dem Hedging zu den Strategien im Finanzmanagement. endobj stream "portfolio insurance".] A1�v�jp ԁz�N�6p\W� p�G@ We investigate statistical arbitrage strategies for index options. endobj 14 0 obj endstream Share: Permalink. stream endobj endobj 32 0 obj stream Add Paper to My Library . It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. [7A�\�SwBOK/X/_�Q�>Q�����G�[��� �`�A�������a�a��c#����*�Z�;�8c�q��>�[&���I�I��MS���T`�ϴ�k�h&4�5�Ǣ��YY�F֠9�=�X���_,�,S-�,Y)YXm�����Ěk]c}džj�c�Φ�浭�-�v��};�]���N����"�&�1=�x����tv(��}�������'{'��I�ߝY�)� Σ��-r�q�r�.d.�_xp��Uە�Z���M׍�v�m���=����+K�G�ǔ����^���W�W����b�j�>:>�>�>�v��}/�a��v���������O8� � Links: Download Fact Sheet (.pdf) Download Methodology (.pdf) 183 2 0 obj Eqθb�Z�2H� �2O���,~I&[8��j������ ~T`u��M��D��Fq�� +U��K����S. Index arbitrage strategies - Nehmen Sie dem Testsieger der Redaktion. Index arbitrage is an investment strategy designed to profit from the differences between the actual price of a stock and the theoretical futures price of the same stock. cratic risk, which makes the CDX-CDS arbitrage trade less attractive, strategic po-sitioning in CDS products by institutional investors, which makes the CDS market more liquid relative to the cash market, and post-crisis regulatory changes. << /TT1.0 15 0 R /TT1.1 16 0 R /TT3.0 19 0 R /TT3.1 20 0 R /TT2.0 17 0 R /TT2.1 23 0 obj stream Z. Kakushadze and J.A. endstream Copy URL. 42 Pages Posted: 25 Aug 2008 Last revised: 24 Nov 2011. x���B ��lIeDҐ�J�hi -����pw��x��G�@�ѷ�B�����zm�*Z�)�E�ѳxB��݋;t+j�F\�+q�.DUD��9:��D��8B����"�D�=�+vжȠ-���b��:Z�hE$ѲH�%G1���"��"��A4+hFL�)1�&����� Herzlich Willkommen auf unserer Webpräsenz. �r��/G*��ː$G�'�B��ay�Y?h �-3����D� �^�h�t��@z��v��Q9M߿��&`}b���*4�Tq`su��T7���i;�{7ɞ3f��ƴS�1� �~��T�q��d 21 0 obj E�6��S��2����)2�12� ��"�įl���+�ɘ�&�Y��4���Pޚ%ᣌ�\�%�g�|e�TI� ��(����L 0�_��&�l�2E�� ��9�r��9h� x�g��Ib�טi���f��S�b1+��M�xL����0��o�E%Ym�h�����Y��h����~S�=�z�U�&�ϞA��Y�l�/� �$Z����U �m@��O� � �ޜ��l^���'���ls�k.+�7���oʿ�9�����V;�?�#I3eE妧�KD����d�����9i���,�����UQ� ��h��6'~�khu_ }�9P�I�o= C#$n?z}�[1 ]hmK����Sōrp��FۓJ�n7��5m�9D��~*�����߈��8���}~�b(5L�!+��{������s�тY̤��O-��Sf|ǧm, ��uy�i���ģ��Ց�>ti���C��R��uա��0�9�GZ���qL+E�T�р����s��wu���3�O�x�O_�)������-�K>:g����ѓ��#s8�7!d����+S9���_;�k��-����NQu� ��P�;��#c=��Y����*��"` ���]7�"Ǭ>�O���I]� �а���$su�(�b�c����N���D(�+�O���L��)���^6~)bx�Հ14Tc�a�ȴ���[8��B-� e�v�Џ�HJ)��t�^����5�d��û/�Ѥ��o��� :q;h����rXH� ��. x���B ��lIeDҐ�J�hi -����pw��x��G�@�ѷ�B�����zm�*Z�)�E�ѳxB��݋;t+j�F\�+q�.DUD��9:��D��8B����"�D�=�+vжȠ-���b��:Z�hE$ѲH�%G1���"��"��A4+hFL�)1�&����� Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9. 361 Pages Posted: 13 Sep … endobj endobj Application of Cointegration to Index Tracking, Index Arbitrage, and Related Market-neutral Strategies Introduction These are my expository notes on a paper titled "Cointegration portfolios of European equities for index tracking and market neutral strategies" by C. Dunis and R. Ho. endobj Strategies are based on future movements in underlying instruments rather than the realized valuation discrepancies between securities. 1047 Index arbitrage strategies - Der absolute Favorit . 183 endobj 26 0 obj The Forex triangular arbitrage is a trading strategy based on opening positions in 3 currency pairs. x�VMO�@�ﯘ�� ���>U@{�(�8T=А4�����̮g���! ] /Domain [ 0 1 ] /Extend [ true true ] /Function 25 0 R >> XG��ůUS[���I���J���*$�:7���鶪O{�7�@�Hb{����IS�*�IH{��!&�U�vb'S�\���9�9�;�^�D=_i��U������$�����M�ҳ�Kԫ�N-���.����������N�#�z��щ"O�n}�Q��k�K���i�����6��}�x��'=N!? x���B ��lIeDҐ�J�hi -����pw��x��G�@�ѷ�B�����zm�*Z�)�E�ѳxB��݋;t+j�F\�+q�.DUD��9:��D��8B����"�D�=�+vжȠ-���b��:Z�hE$ѲH�%G1���"��"��A4+hFL�)1�&����� with his arbitrage strategy. x���B ��lIeDҐ�J�hi -����pw��x��G�@�ѷ�B�����zm�*Z�)�E�ѳxB��݋;t+j�F\�+q�.DUD��9:��D��8B����"�D�=�+vжȠ-���b��:Z�hE$ѲH�%G1���"��"��A4+hFL�)1�&����� Share: Permalink. endobj >> Merger arbitrage is a kind of event-driven strategy, which can also involve distressed companies. Herzlich Willkommen auf unserer Webseite. *�kzE =~��4ے�ۙy�� Limits to Arbitrage and Commodity Index Investment: Front-Running the Goldman Roll Yiqun Mou Columbia University July 15, 2011 ABSTRACT This paper studies the unique rolling activity of commodity index in futures markets and shows that the resulting price impact is statistically and economically significant. Index arbitrage strategies - Der absolute TOP-Favorit unserer Tester. endobj %�쏢 Index Arbitrage and the Pricing Relationship between Australian Stock Index Futures and Their Underlying Shares. �oCU�n���"���=3�iE�G�z��eZ$YO���8��d�����%�nO��W���cA)�⺛]�|ܽYS����X�U]��)Ή}�C�j��Ǘ���+��d�Jb!�X5:ķ�4���J^�N��(�4_�XDQ�(J=���t^�����L�\ The NIFTY 50 Arbitrage Index aims to measure the performance of such arbitrage strategies. [ 0 1 ] /Extend [ true true ] /Function 22 0 R >> endobj endobj �����;≯¤��J)[hC���z�]YZ%&��r���=�NBuꁔ� ���&. 22 0 obj [ 0 1 ] /Extend [ true true ] /Function 26 0 R >> The investor might doubt arbitrageur’s abilities and they might withdraw their precisely when the expected gain is at the maximum – lost opportunity which could have covered all the expenses incurred till now. 10 0 obj %��������� @$��A�ClB6:�P3m�TaA���n���e]4ճ�~�(Z� x�F�V C����UR�<6z+� ���;D�����F�@�0J 2W� |G��p� Rɬ� �0T��Ȃ$l28�(��} �o��^Ȁ�ʤ�8 �.�z�Z6O���ӵ���K_���1xԈ�.�Y�5Z/��ԉ�������sOM� 鶌�7���I�ˮ�1I�9��RdG�Ȓ��d·���6�/��`q�T"y��ϝ%'5^�)Du$N8��d"L���7��"T���7e��]r���Rĭ�x(��k�2Y�%�/����}��U�����7/�z�-Z�c#F��yj܆9q#`GpK���F��{/��E� 8"���y��������_���,�� <> stream 802 << /ColorSpace 7 0 R /ShadingType 2 /Coords [ 4312444 0 4312444 133350 ] /Domain t���]~��I�v�6�Wٯ��) |ʸ2]�G��4��(6w��‹�$��"��A���Ev�m�[D���;�Vh[�}���چ�N|�3�������H��S:����K��t��x��U�'D;7��7;_"��e�?Y qx In this post, we will discuss automated arbitrage trading (index arbitrage) and the complexities around implementation of this idea without automation. 30 0 obj The HFRX Absolute Return Index is designed to be representative of the overall composition of the hedge fund universe. endstream The Arbitrage: Both strategies require the same initial investment have the same risk and should provide the same proceeds. Hier lernst du die wichtigen Informationen und unsere Redaktion hat viele Index arbitrage strategies angeschaut. << /Length 35 0 R /FunctionType 0 /BitsPerSample 8 /Size [ 1365 ] /Domain endstream stream 27 0 obj 4�.0,` �3p� ��H�.Hi@�A>� Index Arbitrage: An investment strategy that attempts to profit from the differences between actual and theoretical futures prices of the same stock index … x���B ��lIeDҐ�J�hi -����pw��x��G�@�ѷ�B�����zm�*Z�)�E�ѳxB��݋;t+j�F\�+q�.DUD��9:��D��8B����"�D�=�+vжȠ-���b��:Z�hE$ѲH�%G1���"��"��A4+hFL�)1�&����� << /Length 34 0 R /FunctionType 0 /BitsPerSample 8 /Size [ 1365 ] /Domain 24 0 obj 34 0 obj endobj Using the URL or DOI link below will ensure access to this page indefinitely. Using the URL or DOI link below will ensure access to this page indefinitely . For example, EURUSD, USDJPY, and EURJPY. 5 0 obj 29 0 obj endobj [ 0 1 ] /Range [ 0 1 0 1 0 1 ] /Filter /FlateDecode >> 5 Hedge Fund Strategies How do hedge funds invest? x��[Ys�~W�G�-������l��l%[�U*�d�@I��2Eɇ|��t�40���)��\�ht���튍B���.o���/�����35rc� ��˛շ�gϞ����Z��_������`�+�p�����?�>*+�Z� 1J���ð�QL��k��-7v}3�Qi��z���B�w�FZ;j�ɗ� �Q\�/&�DO����p�L����G���}e�� ��Q Ȁ8Ms�$���Z���4jt¬o��}����:�X?z_Œ��~���C�G{H��W�#Q�3�Ch/���zf`?b�n�bu~�z9�V�p���y�|I��3��m��U�Z�! 13 0 obj Ferner erschwert die Index-Arbitrage das Verfahren einer Kapitalausschüttung, das in der Schlusswirkung den Ausgang der Arbitrage unsicher werden lässt. volatility arbitrage strategies and to serve as underlyings for index-linked products. The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. Index arbitrage strategies - Wählen Sie dem Liebling der Redaktion. The first hedge fund used a long/short equity strategy… endobj One is a statistical arbitrage strategy with sector ETFs. endobj stream Relative Implied-Volatility Arbitrage with Index Options Manuel Ammann and Silvan Herriger In the study reported here, we investigated the efficiency of markets as to the relative pricing of similar risk by using implied volatilities of options on highly correlated indexes and a statistical arbitrage strategy to profit from potential mispricings. << /Length 30 0 R /N 3 /Alternate /DeviceRGB /Filter /FlateDecode >> tion costs on the index arbitrage strategies. endobj ��.3\����r���Ϯ�_�Yq*���©�L��_�w�ד������+��]�e�������D��]�cI�II�OA��u�_�䩔���)3�ѩ�i�����B%a��+]3='�/�4�0C��i��U�@ёL(sYf����L�H�$�%�Y�j��gGe��Q�����n�����~5f5wug�v����5�k��֮\۹Nw]������m mH���Fˍe�n���Q�Q��`h����B�BQ�-�[l�ll��f��jۗ"^��b���O%ܒ��Y}W�����������w�vw����X�bY^�Ю�]�����W�Va[q`i�d��2���J�jGէ������{�����׿�m���>���Pk�Am�a�����꺿g_D�H��G�G��u�;��7�7�6�Ʊ�q�o���C{��P3���8!9������-?��|������gKϑ���9�w~�Bƅ��:Wt>���ҝ����ˁ��^�r�۽��U��g�9];}�}��������_�~i��m��p���㭎�}��]�/���}������.�{�^�=�}����^?�z8�h�c��' In this project, we implement two trading strategies. x��wTS��Ͻ7��" %�z �;HQ�I�P��&vDF)VdT�G�"cE��b� �P��QDE�݌k �5�ޚ��Y�����g�}׺ P���tX�4�X���\���X��ffG�D���=���HƳ��.�d��,�P&s���"7C$ This might make the arbitrageur to participate less in such similar trades in the future. ��*���ȓ�Un�"f����ar��/�q�1�.�u��]�X����c���+�T��?׵��K�_��Ia����|xQ���}t��G__���{�p�M�ju1{���%��#8�ug����V���c葨�Si�a��J}��_�qV��˳Z��#�d�����?������:73��KWkn��Aڮ�YQ�2�;^��)m��”��v��J���&�fzg����ڐ����ty�?�:/��]�Rb���G�DD#N-bթJ;�P�2�ĽF6l�y9��DŽ���-�Q�;ǯp�ɱX?S��b��0g��7؛�K�:� 33 0 obj 6 0 obj %PDF-1.3 x�X�n�F}߯��/t`3\�շ$ ���H`A��!�,)�D:T�����V�+���Y��d���$g�s=sv���>PV�q��R��$��? In den Rahmen der Gesamtbewertung fällt eine Vielzahl an Eigenarten, weshalb das beste Testergebniss zustande kommt. The system is relying on catching discrepancies (arbitrage … 2612 Wir haben uns der Aufgabe angenommen, Alternativen unterschiedlichster Art zu checken, dass Verbraucher ohne Verzögerung den Index arbitrage strategies finden können, den Sie für ideal befinden. An index consists of a basket of stocks. %PDF-1.2 When successful, it can make a profit by exploiting market inefficiencies, which occur when the current price doesn’t reflect the most recent information about the stock. stream Zu den Arbitrageobjekten gehören Finanzinstrumente (Forderungen, Verbindlichkeiten, Wertpapiere, Devisen, Sorten, Edelmetalle, Derivate) oder Handelswaren. Similar to VIX®, the price of S&P 500 tail risk is calculated from the prices of S&P 500 out-of-the-money options. << /ColorSpace 7 0 R /ShadingType 2 /Coords [ 152400 0 152400 3886200 ] /Domain [ /ICCBased 29 0 R ] Copy URL. 183 [ 0 1 ] /Range [ 0 1 0 1 0 1 ] /Filter /FlateDecode >> ߏƿ'� Zk�!� $l$T����4Q��Ot"�y�\b)���A�I&N�I�$R$)���TIj"]&=&�!��:dGrY@^O�$� _%�?P�(&OJEB�N9J�@y@yC�R �n�X����ZO�D}J}/G�3���ɭ���k��{%O�חw�_.�'_!J����Q�@�S���V�F��=�IE���b�b�b�b��5�Q%�����O�@��%�!BӥyҸ�M�:�e�0G7��ӓ����� e%e[�(����R�0`�3R��������4�����6�i^��)��*n*|�"�f����LUo�՝�m�O�0j&jaj�j��.��ϧ�w�ϝ_4����갺�z��j���=���U�4�5�n�ɚ��4ǴhZ�Z�Z�^0����Tf%��9�����-�>�ݫ=�c��Xg�N��]�. SKEW typically ranges from 100 to 150. ��� 11 0 obj endstream endobj Risk/Arbitrage Strategies: A New Concept for Asset/Liability Management, Optimal Fund Design and Optimal Portfolio Selection in a Dynamic, Continuous-Time Framework Part III: A Risk/Arbitrage Pricing Theory Hans-Fredo List Swiss Reinsurance Company Mythenquai 50/60, CH-8022 Zurich Telephone: +41 1285 2351 Facsimile: +411285 4179 Mark H.A. << /Length 31 0 R /FunctionType 0 /BitsPerSample 8 /Size [ 1365 ] /Domain Anders als bei der Spekulation eignen sich Immobilien und Kunstwerke wegen bestehender Transaktionshemmnisse und/oder mangelnder Markttransparenz nicht für die Arbitrage. endobj 31 0 obj Long/Short Equity . Index arbitrage is a subset of statistical arbitrage focusing on index components.. << /Length 36 0 R /FunctionType 0 /BitsPerSample 8 /Size [ 1365 ] /Domain ] /Domain [ 0 1 ] /Extend [ true true ] /Function 24 0 R >> 183 ANY STRATEGIES DISCUSSED, INCLUDING EXAMPLES USING ACTUAL SECURITIES AND PRICE DATA, ARE STRICTLY FOR ILLUSTRA-TIVE AND EDUCATIONAL PURPOSES ONLY AND ARE NOT TO BE CONSTRUED AS AN ENDORSEMENT, RECOMMENDATION, OR SOLICITATION TO BUY OR SELL SECURITIES. [ 0 1 ] /Range [ 0 1 0 1 0 1 ] /Filter /FlateDecode >> endstream 151 Trading Strategies. Ⱦ�h���s�2z���\�n�LA"S���dr%�,�߄l��t� Copy URL. rm:*�}(��OuT:NP��@}(�Q����͏����K+�#O�14[� hu7�>�kk?������kkt�q�݋m�6�nƶ��د�-�mR;`z�����v� x#=\�% �o�Y��Rڱ������#&�?�>�ҹ�Ъ����n�_���;j�;�$}*}+�(}'}/�L�tY�"�$]���.9�⦅%�{�_a݊]h�k�5'SN�{��������_����� ����t [ 0 1 ] /Range [ 0 1 0 1 0 1 ] /Filter /FlateDecode >> Um Ihnen die Entscheidung minimal leichter zu machen, haben unsere Tester abschließend unseren Favoriten ausgesucht, der unserer Meinung nach aus allen Index arbitrage strategies extrem auffällig ist - vor allem im Blick auf Preis-Leistungs-Verhältnis. By using principal component analysis (PCA) in reducing the di-mension of feature space, we observe the bene t and note the issues in application of SVR. Grundstücke können nur durch zeitaufwendige Einschaltung v… [ /ICCBased 27 0 R ] endobj �FV>2 u�����/�_$\�B�Cv�< 5]�s.,4�&�y�Ux~xw-bEDCĻH����G��KwF�G�E�GME{E�EK�X,Y��F�Z� �={$vr����K���� The index measures performance of portfolio involving investment in equity and equivalent short position equity futures, short-term debt market investments and cash. Again, if S is the spot price of the index, F is the futures prices, y is the annualized dividend yield on the stock and r is the riskless rate, the arbitrage relationship can be written as follows:! ��K0ށi���A����B�ZyCAP8�C���@��&�*���CP=�#t�]���� 4�}���a � ��ٰ;G���Dx����J�>���� ,�_“@��FX�DB�X$!k�"��E�����H�q���a���Y��bVa�bJ0՘c�VL�6f3����bձ�X'�?v 6��-�V`�`[����a�;���p~�\2n5��׌���� �&�x�*���s�b|!� Zum Schluss konnte sich im Index arbitrage strategies Vergleich der Sieger hervortun. Index Arbitrage as a Day Trading Strategy. The S&P 500 Volatility Arbitrage Index measures the performance of a variance swap strategy that consists of receiving the implied variance of the S&P 500 and paying the realised variance of the S&P 500. 1 Introduction It is well known that the replicating portfolio for a forward contract involves a buy-and-hold strategy. 9 0 R /Sh4 11 0 R >> >> [ 0 1 ] /Range [ 0 1 0 1 0 1 ] /Filter /FlateDecode >> Unsere Mitarbeiter haben es uns zur Mission gemacht, Produkte jeder Variante ausführlichst unter die Lupe zu nehmen, sodass Interessenten problemlos den Index arbitrage strategies bestellen können, den Sie als Leser für ideal befinden. 183 PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE PERFORMANCE. 9 0 obj 38 0 obj << /Length 5 0 R /Filter /FlateDecode >> 8 0 obj x���B ��lIeDҐ�J�hi -����pw��x��G�@�ѷ�B�����zm�*Z�)�E�ѳxB��݋;t+j�F\�+q�.DUD��9:��D��8B����"�D�=�+vжȠ-���b��:Z�hE$ѲH�%G1���"��"��A4+hFL�)1�&����� endobj endobj endstream endobj endobj If you are new to options trading then you can check the options trading for dummies free course on Quantra. 18 0 R >> /Shading << /Sh3 10 0 R /Sh6 13 0 R /Sh5 12 0 R /Sh1 8 0 R /Sh2 << /ColorSpace 7 0 R /ShadingType 2 /Coords [ 541337.5 0 541337.5 3352800 Arbitrage ist eine wichtige Geschäftsstrategie, die nicht nur an den Börsen, sondern auch im Handel rege genutzt wird. Event Driven Investment managers maintain positions in companies currently or prospectively involved in corporate transactions including mergers, restructurings, financial distress, tender offers, … << /ColorSpace 7 0 R /ShadingType 2 /Coords [ 186531.5 0 186531.5 4667250 36 0 obj << /ProcSet [ /PDF /Text ] /ColorSpace << /Cs1 7 0 R /Cs2 14 0 R >> /Font ] /Domain [ 0 1 ] /Extend [ true true ] /Function 23 0 R >> << /Length 28 0 R /N 3 /Alternate /DeviceRGB /Filter /FlateDecode >> To test the efficiency of markets in pricing relative implied volatilities in highly correlated markets, U.S. stock indices for which listed options are available are matched into pairs according to their degree of correlation. 28 0 obj https://epchan.blogspot.com/2007/02/in-looking-for-pairs-of-financial.html H�pϩ�|z�Em� �� � ���y7�y�����O� 4. 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The Bible of Options Strategies The Definitive Guide for Practical Trading Strategies Guy Cohen Index-Arbitrage mit Aktienindex-Futures, Methodik, Beispiele und kritische Würdigung DeiFin – Die Finanzseite ... umfasst neben der Index-Arbitrage zudem Strategien des sog. index arbitrage strategies on stock index futures under position limits. 4 0 obj Add Paper to My Library. Arbitrageurs love an asset — like an index — that has lots of different securities based on its value because it creates lots of opportunities for mispricing. << /ColorSpace 7 0 R /ShadingType 2 /Coords [ 119062.5 0 119062.5 6845300 The CBOE SKEW Index (“SKEW”) is an index derived from the price of S&P 500 tail risk. << /Length 39 0 R /Filter /FlateDecode >> x�U�o�T>�oR�? stream It is comprised of all eligible hedge fund strategies falling within four principal strategies: equity hedge, event driven, macro/CTA, and relative value arbitrage. Strategy 2: Sell the index futures contract.! stream 7 0 obj �jM�{-�4%���Tń�tY۟��R6����#�v\�喊x:��'H��O���3����^�&�����0::�m,L%�3�:qVE� Open PDF in Browser. �J��4e�^C��+��Ӌ���L� Đ�uCn*�������c����I:=���A�ɖ*���=�d��+m"k'��N0�H)&�e�/W�����ߢ Forex triangular arbitrage. Welche Bedeutung der Begriff hat, welche verschiedenen Varianten der Arbitrage es gibt und was die klassischen Beispiele für Arbitragegeschäfte sind, erfährst du in diesem Erklärtext. 151 Trading Strategies. An ex-ante arbitrage strategy based on arbitrage signals is analyzed. [ 0 1 ] /Range [ 0 1 0 1 0 1 ] /Filter /FlateDecode >> << /ColorSpace 7 0 R /ShadingType 2 /Coords [ 262731.5 0 262731.5 1219200 DAX Index Futures: Mispricing and Arbitrage in German Markets by Wolfgang BUhler *& Alexander Kempf** * University ofMannheim andZEW **ZEW June 1994 Abstract The paper reports the results ofan empirical study of the price relation between the German Performance Stock Index, DAX, and DAX futures. 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