Early unwindings and rollovers of stock index futures arbitrage programs
Subtitle: analysis and implications for predicting expiration day effects
By: John J. Merrick, Jr
Series: Working paper / Federal Reserve Bank of Philadelphia -- no. 87- 16
Publisher: Federal Reserve Bank of Philadelphia
Published: 1987
Place of publication: [Philadelphia]
Language: eng
Number of pages: 32
Subjects: Stock index futures -- Mathematical models; Arbitrage -- Mathematical models; Stock exchanges -- United States -- Mathematical models
Notes: "August 1987."

Bibliography: p. 25