Sources

References.

These sources motivate the market-microstructure background. They are not presented as proof of daily closing-level predictability.

  1. Cox, JC, Ingersoll, JE & Ross, SA 1981, ‘The relation between forward prices and futures prices’, Journal of Financial Economics, vol. 9, no. 4, pp. 321–346.
  2. Fleming, J, Ostdiek, B & Whaley, RE 1996, ‘Trading costs and the relative rates of price discovery in stock, futures, and option markets’, Journal of Futures Markets, vol. 16, no. 4, pp. 353–387.
  3. Frino, A & West, A 2003, ‘The impact of transaction costs on price discovery: evidence from cross-listed stock index futures contracts’, Pacific-Basin Finance Journal, vol. 11, no. 2, pp. 139–151.
  4. Hasbrouck, J 2003, ‘Intraday price formation in U.S. equity index markets’, The Journal of Finance, vol. 58, no. 6, pp. 2375–2400.
  5. Kawaller, IG, Koch, PD & Koch, TW 1987, ‘The temporal price relationship between S&P 500 futures and the S&P 500 index’, The Journal of Finance, vol. 42, no. 5, pp. 1309–1329.
  6. Stoll, HR & Whaley, RE 1990, ‘The dynamics of stock index and stock index futures returns’, Journal of Financial and Quantitative Analysis, vol. 25, no. 4, pp. 441–468.
  7. CME Group n.d., E-mini Nasdaq-100 futures contract specifications, CME Group, viewed 13 September 2026.
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