Results 1 to 10 of about 115,803 (172)
Asymptotic proportion of arbitrage points in fractional binary markets [PDF]
Stochastic Process. Appl., Volume 126, Issue 2 (2016), 315--336, 2014 A fractional binary market is an approximating sequence of binary models for the fractional Black-Scholes model, which Sottinen constructed by giving an analogue of the Donsker's theorem. In a binary market the arbitrage condition can be expressed as a condition on the nodes of a binary tree.
Cordero, Fernando +2 more
arxiv +5 more sources
Weak and strong no-arbitrage conditions for continuous financial markets [PDF]
International Journal of Theoretical and Applied Finance, 2015,
vol. 18(01), 155005, 2013 We propose a unified analysis of a whole spectrum of no-arbitrage conditions for financial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No Arbitrage and No Free Lunch with Vanishing Risk.
Fontana, Claudio
arxiv +7 more sources
The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market [PDF]
International Journal of Theoretical and Applied Finance, Vol. 12,
Issue 8: 1105-1123 (2009), 2008 We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find intra-day variations in the number and length of arbitrage opportunities, with larger numbers of opportunities with
Dacorogna M. M. +5 more
arxiv +5 more sources
Market models with optimal arbitrage [PDF]
arXiv, 2013 We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to superreplicate a constant c>1.
Chau, Huy N., Tankov, Peter
arxiv +3 more sources
INTEREST RATES SENSITIVITY ARBITRAGE – THEORY AND PRACTICAL ASSESMENT FOR FINANCIAL MARKET TRADING
Business, Management and Economics Engineering, 2021 Purpose – Nowadays popular algorithmic trading uses many strategies which are algoritmizable and promise profitability. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known as ...
Bohumil Stádník
exaly +3 more sources
The application of the improved option parity arbitrage model in SSE 50ETF option [PDF]
E3S Web of Conferences, 2021 The SSE 50ETF option is China's first stock index option product launched in 2015. For a number of reasons, the options market can sometimes create arbitrage opportunities.
Xu Liu
doaj +1 more source
Key Roles of Crypto-Exchanges in Generating Arbitrage Opportunities
Entropy, 2021 The evolving crypto-currency market is seen as dynamic, segmented, and inefficient, coupled with a lack of regulatory oversight, which together becomes conducive to observing the arbitrage. In this context, a crypto-network is designed using bid/ask data
Audrius Kabašinskas, Kristina Šutienė
doaj +1 more source
Mathematical Biosciences and Engineering, 2023 We prove that Theorem 4.16 in [1] is false by constructing a strategy that generates (FLVR)H(G). However, we success to prove that the no arbitrage property still holds when the agent only plays with strategies belonging to the admissible set called buy ...
Bernardo D'Auria +1 more
doaj +1 more source
Pricing Options with Vanishing Stochastic Volatility
Risks, 2022 In the past years, there has been an extensive investigation of the class of stochastic volatility models for the evaluation of options and complex derivatives.
Loretta Mastroeni
doaj +1 more source
Sentiment versus mood: a conceptual and empirical investigation [PDF]
Journal of Capital Markets Studies, 2019 Purpose – The purpose of this paper is to investigate whether sentiment and mood, which are distinct theoretical concepts, can also be distinguished empirically.
Albert Rapp
doaj +1 more source