https://fraser.stlouisfed.org/title/working-papers-federal-reserve-bank-atlanta-8586/index-arbitrage-nonlinear-dynamics-s-p-500-futures-cash-656601
Working Papers (Federal Reserve Bank of Atlanta), Index Arbitrage and Nonlinear Dynamics Between...
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https://epchan.blogspot.com/2007/02/in-looking-for-pairs-of-financial.html?showComment=1301608708658
Quantitative Trading: Index arbitrage with XLE
In looking for pairs of financial instruments to pair trade, we do not have to limit ourselves to pairs that occur in "nature". We can often...
quantitative tradingindex arbitragexle