Figure A.1 Mispricing in two subsequent trading sessions
till 02/96
since 02/96


Figure A.1 shows that arbitrage opportunities between subsequent trading sessions declined as a new market emerged. Basically, diagonally shaped data confirm that the price difference observed at time (t-1) was not eliminated by arbitrage trading (lines in all graphs represent zero axes). It is clear that until 02/96 (first half of data) the influence of arbitrage opportunities was lower than after 02/96 when data moved closer to 0, and lost the diagonal shape.