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- GuitarTrader
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about the index arbitrage
Dear, For the index arbitrage, for example, short the S&P500 future and long the 500 index component stocks. If I want to sample the 500 stocks, that is to say turn the 500 stocks into 100 or 50 stocks, in order to increase the basis. Any idea or reference paper ? Many thanks
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- GuitarTrader
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about the index arbitrage
QuoteOriginally posted by: finitudPrincipal Component Analysis?PCA method can increase the basis that i want ?
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- GuitarTrader
- Posts: 1
- Joined:
about the index arbitrage
QuoteOriginally posted by: finitudWhat are you trying to achieve?if I use 500 stocks, the basis is very small. i want to increase the basis in order to increase the profit.So I create my own stock index, for example, 100 stocks, long these 100 stocks and short the S&P500 index future What is the idea to create such portfolio ?Many thanks.
about the index arbitrage
"if I use 500 stocks, the basis is very small. i want to increase the basis in order to increase the profit.So I create my own stock index, for example, 100 stocks, long these 100 stocks and short the S&P500 index future What is the idea to create such portfolio ?"That is not arbitrage then. That is speculation. Actually pretty close to the original definition of a hedge fund. No basis (wrong term).