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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
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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
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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
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Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs [PDF]
Mathematical Finance, 2002 Xiaotie Deng
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Arbitrage vs innovation opportunity analysis among MSMEs actors in Surabaya
Jurnal Ekonomi dan Bisnis, 2022 The Covid-19 pandemic has brought changes in various aspects of life, especially in business management. This study aims to examine whether there are differences in the choice of opportunities between arbitrage opportunities and innovation opportunities ...
Damelina Basauli Tambunan +3 more
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Games in a foreign exchange market and solutions
Financial Internet Quarterly, 2023 Exchange rate and its related risk management are too important for main participants in foreign exchange markets. There are many approaches developed in the literature for studying risk management say arbitrage detection, say finding replication ...
Habibi Reza
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Energies, 2023 Large-scale integration of renewable energy sources introduces high levels of uncertainty in power systems. In addressing the inherent uncertainty of renewables, coupling with energy storage systems allows for improved dispatchability, not only in terms ...
Stefanos Tampakakis, Dimitrios Zafirakis
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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
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Convexity arbitrage – the idea which does not work
Cogent Economics & Finance, 2022 Algorithmic trading, so popular nowadays, uses many strategies that are algorithmizable and promise profitability. This research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in ...
Bohumil Stádník
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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
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