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Researchers have examined the difference between forward and futures prices since the introduction of futures contracts. In this paper we derive the explicit formula for stock-index futures prices under the assumptions of lognormal asset prices, determine the relative difference between futures and forward prices, and test the model for BUX contracts traded on the Budapest Stock Exchange between 1997 and 2002.

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Journal of Financial Economics 137 167 Cho, Ch. D. - Eun, Ch. S. - Senbe, L. W. (1986): International Arbitrage Pricing Theory: An Empirical

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. A. ( 2009 ): The Persistence of the Small Firm/January Effect: Is It Consistent with Investors’ Learning and Arbitrage Efforts? The Quarterly Review of Economics and Finance, 49 ( 3 ): 1172 – 1193

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176 Ross, S. (1976): The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory , 13(3): 341–360. Ross S

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Peel, D.A. - Venetis, I.A. (2005): Smooth Transition Models and Arbitrage Consistency. Economica , 72: 413–430. Venetis I.A. Smooth Transition Models and Arbitrage Consistency

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; Conclusions from the Financial Crisis . Dordrecht, 2011, Chapter 6: The Ethical Economy of the Market for Derivatives: Trading with Values Derived from Other Values for Hedging, Speculation, and Arbitrage, 94

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Acta Oeconomica
Authors:
Milica Latinovic
,
Vesna Bogojevic Arsic
, and
Milica Bulajic

://www.ons.gov.uk/economy/nationalaccounts/balanceofpayments/compendium/unitedkingdombalanceofpaymentsthepinkbook/2015-10-30/unitedkingdombalanceofpayments thepinkbook. Ross , S. A. ( 1989 ): Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution

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References Alexander , C. – Dimitriu , A. ( 2005 ): Indexing and Statistical Arbitrage . The Journal of Portfolio Management , 31 ( 2 ): 50 – 63

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Skill required Skill level involved in predicting the outcome None (for non-skill-based EGMs) Potentially high: forecasting models based on past outcome data, arbitrage

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' asset allocation towards the low-risk-weighted categories by regulatory arbitrage. Moreover, since the introduction of Basel II regulation in 2007, the supervisory authorities have the right to require more capital in the so-called Pillar 2 framework

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