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Ronald T. Slivka

NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering

Brooklyn, NY 11201

United States

  • NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering

SCHOLARLY PAPERS

11

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CITATIONS
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6

Scholarly Papers (11)

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1.

Index Arbitrage in China

Journal of Indexes Europe, January/February 2012
Number of pages: 11 Posted: 03 Nov 2011 Last Revised: 07 Feb 2012
Ronald T. Slivka, Yikai Zhang and Wenwen Zhang
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and New York University (NYU) - NYU Polytechnic School of Engineering
Downloads 860 (12,633)
Citation 1

Abstract:

stock index futures, china, ETF, arbitrage, CSI 300

2.

Calendar Spreads in China Stock Index Futures

Journal of Indexes, pp. 42-48, May/June 2011, NYU Poly Research Paper
Number of pages: 12 Posted: 25 Apr 2011 Last Revised: 14 May 2016
Ronald T. Slivka, Xin Li and Yikai Zhang
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, International Monetary Fund (IMF) and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads 845 (12,003)
Citation 2

Abstract:

3.

Arbitrage of Single Stocks Versus Futures in India

Number of pages: 12 Posted: 03 Nov 2011 Last Revised: 08 Feb 2012
Ronald T. Slivka, Vikram Shah and Jiawei Wu
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, New York University (NYU) - NYU Polytechnic School of Engineering and New York University (NYU) - NYU Polytechnic School of Engineering
Downloads 654 (19,448)
Citation 1

Abstract:

India futures, single stock futures, arbitrage, zero arbitrage band, futures fair value, price discovery, NIFTY index futures

4.

Securities Transaction Tax Reduction and Stock-Futures Arbitrage in India

NYU Poly Research Paper No. 1989539
Number of pages: 14 Posted: 23 Jan 2012 Last Revised: 07 May 2012
Ronald T. Slivka, Pankaj Aggarwal, Kunal K. Shastri and Raghvendra Sisodia
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, New York University (NYU) - NYU Polytechnic School of Engineering, New York University (NYU) - NYU Polytechnic School of Engineering and New York University (NYU) - NYU Polytechnic School of Engineering
Downloads 645 (22,235)

Abstract:

Securities Transaction Tax, STT, India futures, single stock futures, arbitrage, zero arbitrage band, India, forward arbitrage

5.

Hedging and Synthetic Funds Creation in the China Market

Journal of Indexes, pp. 50-55, September/October 2010, NYU Poly Research Paper
Number of pages: 9 Posted: 27 Aug 2010 Last Revised: 23 Jan 2012
Ronald T. Slivka and Xin Li
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and International Monetary Fund (IMF)
Downloads 491 (26,858)
Citation 2

Abstract:

China, stock index futures, arbitrage, hedging, index fund, CSI300

6.

Covered Call ETFs for BRIC Markets

Number of pages: 13 Posted: 01 Mar 2013
Ronald T. Slivka, Sharad S. Bhat and Sridhar Nonabuhr Srinivasamurthy
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, New York University (NYU) - NYU Polytechnic School of Engineering and New York University (NYU) - NYU Polytechnic School of Engineering
Downloads 354 (36,228)

Abstract:

Covered Call, ETF, NIFTY, India, BRIC

7.

Trend Following Algorithms on India's Nifty Index

Indian Journal of Finance, Vol.8, No. 1, January 2014, pp. 1-14
Number of pages: 15 Posted: 20 Jan 2014
Ronald T. Slivka, Vishal Keswani and Xuxiang Li
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, Polytechnic Institute of NYU and Polytechnic Institute of NYU
Downloads 311 (39,470)

Abstract:

Trend Following, Algorithms, Nifty Index, India, Technical Analysis

8.

Stock Index Arbitrage in the Turkish Market

Indian Journal of Finance, Vol.9, No. 11, November, 2015, pp. 7-18
Number of pages: 14 Posted: 14 Nov 2015 Last Revised: 14 Jun 2016
Ronald T. Slivka and Canel Biryol
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads 0 (211,323)

Abstract:

Futures, Arbitrage, Stock Index Futures, Turkey, BIST 30, Fair Value, Price Discovery

9.

An Empirical Model of India's Nifty VIX Index

Indian Journal of Finance, Vol. 9, No. 8, pp. 7-18, NYU Poly Research Paper
Number of pages: 18 Posted: 31 Jul 2015 Last Revised: 14 Jun 2016
Ronald T. Slivka, Shuang Gao and Jie Ren
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads 0 (366,128)

Abstract:

India, Nifty, Nifty VIX, Implied Volatility, Volatility Clustering, Fourier Analysis

10.

Derivatives Within Frontier Markets

Journal of Investing, Vol. 23, No. 4, pp. 47-55, Winter 2014, DOI: 10.3905/joi.2014.23.4.047
Posted: 13 Dec 2014
Ronald T. Slivka and Jiayun Zhang
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and NYU Polytechnic School of Engineering

Abstract:

frontier markets, derivatives, survey, emerging markets, futures, options, ETFs, contract for differences

11.

Fourier Analysis of India's Implied Volatility Index

Indian Journal of Finance, Vol.8, No. 10, October 2014, pp. 7-19
Number of pages: 21 Posted: 25 Oct 2014 Last Revised: 14 Jun 2016
Ronald T. Slivka, Chun Ho Chang and Sharon Yu
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, New York University (NYU) - NYU Polytechnic School of Engineering and New York University (NYU) - NYU Polytechnic School of Engineering
Downloads 0 (388,789)

Abstract:

Nifty, Nifty VIX, Fourier Analysis, Calendar Effects, Implied Volatility

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