Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash
利用带交易成本的持有成本模型，基于分钟级数据研究标普500期货与现货之间的非线性动态关系，发现非线性特征与套利行为相关，且套利促使基差更快收敛至持有成本。
We use a cost of carry model with nonzero transaction costs to motivate estimation of a nonlinear dynamic relationship between the S&P 500 futures and cash indexes. Discontinuous arbitrage suggests that a threshold error correction mechanism may characterize many aspects of the relationship between the futures and cash indexes. We use minute-by-minute data on the S&P 500 futures and cash indexes. The results indicate that nonlinear dynamics are important and related to arbitrage, and suggest that arbitrage is associated with more rapid convergence of the basis to the cost of carry than would be indicated by a linear model. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.