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

15

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14

Scholarly Papers (15)

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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 1,939 (12,512)

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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 1,915 (12,744)
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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 1,447 (19,633)
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India futures, single stock futures, arbitrage, zero arbitrage band, futures fair value, price discovery, NIFTY index futures

4.

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 1,249 (24,412)
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China, stock index futures, arbitrage, hedging, index fund, CSI300

5.

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 1,243 (24,589)

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

6.

Covered Call ETFs for BRIC Markets

Number of pages: 13 Posted: 01 Mar 2013
Ronald T. Slivka, Sharad Bhat and Sridhar 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 992 (34,193)

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Covered Call, ETF, NIFTY, India, BRIC

7.

Nifty Futures Rollover Strategies

Indian Journal of Finance, Vol. 11, No. 7, pp. 7-12
Number of pages: 18 Posted: 18 Jul 2017
Ronald T. Slivka, Jie Yang and Weiyu Wan
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, Independent and Independent
Downloads 754 (49,599)
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Futures Rollover Strategy, Calendar Spreads, Stock Index Futures, Nifty Futures, India Futures

8.

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 749 (50,058)

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

9.

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 530 (77,913)

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

10.

Rolling Over Equity Futures: A Study in Four Countries

NYU Tandon School of Engineering, Dept. of Finance and Risk Engineering, 2017
Number of pages: 24 Posted: 29 Jan 2020
Ronald T. Slivka, Han Qin and Kai Ye
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, NYU Tandon School of Engineering and NYU Tandon School of Engineering
Downloads 228 (195,430)

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Calendar Spreads, Stock Index Futures, Roll Yield, FTSE 100, S&P 500, Nifty, A 50, S&P 500 futures, FTSE 100 futures, China futures, Rollover Strategy

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 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 184 (237,470)

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

12.

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 164 (261,969)

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

13.

Nifty 50 Option Time Spreads

Indian Journal of Finance, Vol. 14, No. 8-9, August-September 2020, pp. 8-19.
Number of pages: 12 Posted: 23 Nov 2020
Ronald T. Slivka
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads 158 (270,057)
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Nifty 50 Options, Time Spreads, Calendar Spreads

14.

Time Spreads in China SSE 50 Options

Indian Journal of Research in Capital Markets, Vol. 6, No. 4, pp. 7-19, Oct-Dec 2019
Posted: 07 Feb 2020
Ronald T. Slivka and Ruichen Wang
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and University of Toulouse 1 - Toulouse School of Management

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SSE50 Options, Time Spreads, Calendar Spreads, Horizontal Spreads

15.

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

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