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The Journal of Finance, 1997 ABSTRACTTextbook arbitrage in financial markets requires no capital and entails no risk. In reality, almost all arbitrage requires capital, and is typically risky. Moreover, professional arbitrage is conducted by a relatively small number of highly specialized investors using other people's capital.
Andrei Shleifer, Robert W. Vishny
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Annals of Applied Probability, 2012 We characterize absence of arbitrage with simple trading strategies in a discounted market with a constant bond and several risky assets. We show that if there is a simple arbitrage, then there is a 0-admissible one or an obvious one, that is, a simple arbitrage which promises a minimal riskless gain of , if the investor trades at all. For continuous
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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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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
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No arbitrage without semimartingales
The Annals of Applied Probability, 2009 We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities.
Jarrow, Robert A. +2 more
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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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SSRN Electronic Journal, 2014 Abstract An arbitrageur with short investment horizon gains from accelerating price discovery by advertising his private information. However, advertising many assets may overload investors’ attention, reducing the number of informed traders per asset, and slowing price discovery.
Sergey Kovbasyuk, Marco Pagano
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Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs [PDF]
Mathematical Finance, 2002 Xiaotie Deng
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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
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Volatility and arbitrage [PDF]
The Annals of Applied Probability, 2018 The capitalization-weighted total relative variation $\sum_{i=1}^d \int_0^\cdot _i (t) \mathrm{d} \langle \log _i \rangle (t)$ in an equity market consisting of a fixed number $d$ of assets with capitalization weights $ _i (\cdot)$ is an observable and nondecreasing function of time.
Fernholz, E. Robert +2 more
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