Results 1 to 10 of about 146,531 (263)
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
IEEE Access, 2020 Energy storage plays a significant role in improving the stability of distributed energy, improving power quality and peak regulation in the micro-grid system, which is of great significance to the sustainable development of energy.
Yunjun Yu, Zhenfen Cai, Yushui Huang
doaj +2 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 +6 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
, 1995 In traditional models, arbitrage in a given security is performed by a large number of diversified investors taking small positions against its mispricing.
Andrei Shleifer, Robert W. Vishny
openalex +2 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
Algebraic Properties of Arbitrage: An Application to Additivity of Discount Functions [PDF]
Mathematics, 2019 Background: This paper aims to characterize the absence of arbitrage in the context of the Arbitrage Theory proposed by Kreps (1981) and Clark (2000) which involves a certain number of well-known financial markets.
Salvador Cruz Rambaud
doaj +4 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
Cyclic Arbitrage in Decentralized Exchanges [PDF]
The Web Conference, 2021 Decentralized Exchanges (DEXes) enable users to create markets for exchanging any pair of cryptocurrencies. The direct exchange rate of two tokens may not match the cross-exchange rate in the market, and such price discrepancies open up arbitrage ...
Ye Wang +5 more
semanticscholar +1 more source