DJ index arbitrage

["Gerrit Jacobsen" <jrt@xxxxxxxxxx>]

Can someone point me to some information regarding index arbitrage ? 
What I am especially interested in is figures for calculating the 
transaction costs for tracking the DJ.

I am especially interested in modelling the DJ. I gather that there 
must be more accurate and cheaper ways to modell the index rather 
than trading the future. I could imagine that this works via 
colleration analysis for the stocks versus the index.

Can anyone shed any light on these issues ?

Thanks for your help.

Gerrit



Gerrit Jacobsen
http://www.tickscape.com