S.Markose – E.Tsang – H.Er – Evolutionary Decision Trees For Stock Index Options And Futures Arbitrage

EDDIE-ARB (EDDIE stands for Evolutionary Dynamic Data Investment Evaluator) is a genetic program (GP) that implements a cross market arbitrage strategy in a manner that is suitable for online trading. Our benchmark for EDDIE-ARB is the Tucker (1991) put-call-futures (P-C-F)...