Hi, I understand that the Dollar Nikkei vs Yen Nikkei spread is driven by USDJPY correlation with NKY, do you know any paper/article discussing that spread? PS: I only know the CME 4-page article on it.
If you're attempting to somehow take advantage here forget about it. In short though they're probably using a mathematical derivation such that people don't try to arb the NKD vs NKY spread vs the yen. Everytime Nikkei comes up though I just tell people to directly trade the N225M contract on OSE/JPX, the most liquid Nikkei contract in the world.