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Quantitative Finance · Begrippenlijst

Wat is ETF create-redeem arbitrage?

Definition 19.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Hoofdstuk 19 — Systematic Credit and Bond-ETF Arbitrage

ETF create-redeem arbitrage is the trade by which an authorised participant (Book 1, chapter 14) delivers a creation basket to receive new ETF shares when the shares trade above the basket’s value, or delivers shares to receive the basket when they trade below, keeping the gap less its costs.

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