Results 131 to 140 of about 11,519 (249)

Exploiting arbitrage requires short selling

, 2023
Eckhard Platen, Stefan Tappe
openalex   +2 more sources

Price Discovery in Bitcoin ETF Market

Financial Review, EarlyView.
ABSTRACT In this study, we explore price discovery across the following three Bitcoin markets: spot, futures, and exchange‐traded funds (ETFs). Employing the fractionally cointegrated vector autoregressive (FCVAR) model, we estimate price discovery in each market using minute‐level price data from October 19, 2021, the launch date of the first US ...
Kiana Kia, Bo Liu, Qian Li, Victor Song, Ke Xu   +4 more
wiley   +1 more source

An LSTM-based optimization algorithm for enhancing quantitative arbitrage trading. [PDF]

PeerJ Comput Sci
Han G, Li H.
europepmc   +1 more source

Private and External Costs and Benefits of Replacing High-Emitting Peaker Plants with Batteries. [PDF]

Environ Sci Technol, 2023
Porzio J, Wolfson D, Auffhammer M, Scown CD.   +3 more
europepmc   +1 more source

A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

, 1999
Andrew Ang, Monika Piazzesi
openalex   +1 more source

Skew Premiums Around Earnings Announcements

Financial Review, EarlyView.
ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley   +1 more source

An optimized LSTM network for improving arbitrage spread forecasting using ant colony cross-searching in the K-fold hyperparameter space. [PDF]

PeerJ Comput Sci
Zeng Z, Qin P, Zhang Y, Tang Y, Cheng S, Tu S, Ding Y, Gao Z, Liu Y.   +8 more
europepmc   +1 more source

Arbitrage of the first kind and filtration enlargements in\n semimartingale financial models [PDF]

, 2014
Beatrice Acciaio, Claudio Fontana, Constantinos Kardaras   +2 more
openalex   +1 more source

La résolution des litiges blockchain - vers un arbitrage décentralisé ?

, 2021
Leonel Constantino Ferreira
openalex   +1 more source

Collateral‐Based Monetary Policy: Evidence From China

International Economic Review, EarlyView.
ABSTRACT We exploit the unique institutional features of Chinese bond markets to estimate the causal effect of collateral‐based monetary policy on asset prices and the real economy. A policy change allowed certain bonds to be used as collateral for the Medium‐Term Lending Facility in the interbank market, while the same bonds in the exchange market ...
Hanming Fang, Yongqin Wang, Xian Wu
wiley   +1 more source