Results 91 to 100 of about 156,527 (368)

Energy Storage Arbitrage in Real-Time Markets via Reinforcement Learning [PDF]

IEEE Power & Energy Society General Meeting, 2017
In this paper, we derive a temporal arbitrage policy for storage via reinforcement learning. Real-time price arbitrage is an important source of revenue for storage units, but designing good strategies have proven to be difficult because of the highly ...
Hao Wang, Baosen Zhang
semanticscholar   +1 more source

Stock Return Prediction Based on a Functional Capital Asset Pricing Model

Journal of Forecasting, EarlyView.
ABSTRACT The capital asset pricing model (CAPM) is readily used to capture a linear relationship between the daily returns of an asset and a market index. We extend this model to an intraday high‐frequency setting by proposing a functional CAPM estimation approach.
Ufuk Beyaztas, Kaiying Ji, Han Lin Shang, Eliza Wu   +3 more
wiley   +1 more source

American Depositary: A Case Study for Brazilian Market [PDF]

Journal of Systemics, Cybernetics and Informatics, 2012
Specialists often question market efficiency. Some works suggest arbitrage opportunities in several financial operations. Such opportunities can be explained mainly by information asymmetry, since pricing in the stock market is directly linked to ...
André Machado Caldeira, Giovanna Lamastra Pacheco, Walter Gassenferth, Maria Augusta Soares Machado   +3 more
doaj  

On the drivers of global grain price volatility: an empirical investigation

Agricultural Economics (AGRICECON), 2019
Several drivers may generate market instability, but the partial contribution of different factors is still debated. We investigate how market-based drivers influence the global price volatility of three major grains: wheat, corn, barley.
Fabio Gaetano Santeramo, Emilia Lamonaca
doaj   +1 more source

Double Exponential Instability of Triangular Arbitrage Systems

, 2012
If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX) markets, in which
A. A. Cournot, B. R. Marshall, BIS, BIS, BIS, C. D'Souza, E. A. Asarin, E. F. Fama, G. Cassel, IMF, J. M. Keynes, M. Klau, P. H. Dybvig, P. Samuelson, Q. F. Akram, R. Cross, R. Jungers, S. A. Ross, S. J. Grossman, V. Covrig, V. Kozyakin, Z. Xiaochuan   +21 more
core   +1 more source

On arbitrages arising from honest times [PDF]

, 2013
In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits.
A. Grorud, A. Nikeghbali, A. Nikeghbali, A. Nikeghbali, C. Kardaras, C. Kardaras, C. Kardaras, Claudio Fontana, D. Coculescu, F. Black, F. Delbaen, F. Delbaen, F. Delbaen, H. Hulley, H. Zhang, I. Karatzas, I. Karatzas, J. Jacod, J. Zwierz, J.E. Ingersoll, J.P. Ansel, K. Takaoka, K.D. Elworthy, M. Dellacherie, M. Jeanblanc, M. Schweizer, M. Schweizer, M.T. Barlow, Monique Jeanblanc, O. Chybiryakov, P. Cheridito, P. Imkeller, P. Imkeller, P. Protter, P.-A. Meyer, R. Mansuy, S. Ankirchner, Shiqi Song, T. Choulli, T. Jeulin, Y. Kabanov   +40 more
core   +3 more sources

Price Discovery and Efficiency in Uniswap Liquidity Pools

Journal of Futures Markets, EarlyView.
ABSTRACT Using almost three years of minute‐level data, we show that the efficiency of Uniswap v3 is much improved relative to v2, and some v3 pools are approaching or even exceeding Bitstamp in terms of price discovery ability. Regression results suggest that the channels of influence for these improvements are an increase in informed liquidity ...
Carol Alexander, Xi Chen, Jun Deng, Qi Fu   +3 more
wiley   +1 more source

Negative Swap Spreads and Limited Arbitrage

The Review of financial studies, 2018
Since October 2008, fixed rates for interest rate swaps with a 30-year maturity have been mostly below Treasury rates with the same maturity. Under standard assumptions, this implies the existence of arbitrage opportunities. This paper presents a model
Urban J. Jermann
semanticscholar   +1 more source

Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non‐Normality

Journal of Futures Markets, EarlyView.
ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from
Tak Kuen Siu
wiley   +1 more source

Systemic Credit Risk Premium: Insights From Credit Derivatives Markets

Journal of Futures Markets, EarlyView.
ABSTRACT This study examines the market‐implied premiums for bearing systemic credit risk by analyzing credit derivatives on the CDX North American Investment Grade portfolio from September 2005 to March 2021. We construct systemic credit risk premium (SCRP) as the difference between the observed prices of multiname super‐senior tranches and their ...
Kiwoong Byun, Baeho Kim, Dong Hwan Oh
wiley   +1 more source