Results 11 to 20 of about 134,260 (327)
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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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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Inconsequential arbitrage [PDF]
Journal of Mathematical Economics, 2000 The paper deals with the concept of arbitrage, namely with the one of inconsequential arbitrage, in the framework of a model with short-sales and half-lines in indifference surfaces. It is shown that under certain conditions the inconsequential arbitrage, the existence of a Pareto optimal allocation, and compactness of the set of utility possibilities ...
Frank H. Page +2 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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The Annals of Applied Probability, 2010 In a Markovian model for a financial market, we characterize the best arbitrage with respect to the market portfolio that can be achieved using nonanticipative investment strategies, in terms of the smallest positive solution to a parabolic partial differential inequality; this is determined entirely on the basis of the covariance structure of the ...
Fernholz, Daniel, Karatzas, Ioannis
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Optimal statistical arbitrage trading of Berkshire Hathaway stock and its replicating portfolio.
PLoS ONE, 2021 In this paper, we make use of the replicating asset for statistical arbitrage trading, where the replicating asset is constructed by a portfolio that mimics the returns from a factor model.
An-Sing Chen, Che-Ming Yang
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Diversity and No Arbitrage [PDF]
Stochastic Analysis and Applications, 2014 14 pages, final ...
Vilmos Prokaj +2 more
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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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SSRN Electronic Journal, 2014 Short-lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities and faster responses to these opportunities should impair liquidity.
Foucault, Thierry +2 more
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Locarno Treaties (1925) in the Context of the Versailles System Transformation as seen from London
Вестник Московского Университета. Серия XXV: Международные отношения и мировая политика, 2021 This paper is an attempt to reassess the role of the Locarno Treaties (1925) in terms of the Versailles-Washington system of international relations evolution.
E. V. Khakhalkina, V. S. Dzyuba
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