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Hi
Can't give you an intelligent response on transaction costs cos I don't
trade stocks just futures.
My guess tho is that arbitrage is mainly for the big boys who can access
institutional rates, and even more importantly have superquick immediate
floor access to take advantage of the price discrepancies. Oh did I
mention the need for super-large amounts of capital to make any decent
money?
my 2 cents . . .
Gerrit Jacobsen wrote:
>
> Peter,
>
> I have a related question. What do you estimate are the average
> transaction costs for buying the whole DJII index stocks expressed in
> Dow Jones DJII points ? What this is boiling down to: What is the
> minimum difference that arbitrageurs can benefit from by trading the
> index and the cash against each other ?
>
> I guess that the arbitrageurs would try not to buy the whole index
> but rather a sub-basket that correlates closest with the DJ in order
> to reduce transaction costs.
>
> Any ideas on this ?
>
> Gerrit Jacobsen
>
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