The following are original works of this blog and author. Each case study is meant to give a glimpse of the dynamic, complex, and shifting structures within the markets.
Triangular Arbitrage: The act of trading one synthetic currency vs. the live equivalent.
GBP, MXN, and JPY
CHF, JPY, and NZD
USD, SEK, and NOK
KRW, JPY, and HKD
USD, AUD, and HKD
ETF / Futures Arbitrage: This structure involves trading a block of ETF-shares against an offsetting futures contract and managing the spread as a standalone position.
ETF / Futures Arbitrage: Deviation in Practice
Two Non-USD Denominated ETFs vs. NYMEX Gold Futures
SLV vs. NYMEX Silver Futures
GLD vs.NYMEX Gold Futures
SPY vs. CME E-Mini S&P 500 Futures
IWM vs.NYBOT Russell 2000 Mini Futures
FXB vs.CME GBP Futures
FXE vs. CME EUR Futures
ADR Arbitrage: This strategy has been highly studied within academia and offers great insight into the areas of fundamental risk, volatility contagion, and currency co-integration.
Ericsson
Apple
Glencore
Sino-Forest
RWE Group
Commodity Spreading: These studies involve trading the term structure or cross-market spreads within a specific commodity complex.
ETF Securities Coffee ETFs
Urals Blend Arbitrage Continues from Novorossiysk
Globally-listed Gold Futures: HKFE, NYMEX, and LIFFE
NYMEX Natural Gas Spreads
ICE and LIFFE Cocoa Futures
Executing Conversions in the WTI Crude Market
