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Volatility and arbitrage [PDF]
The Annals of Applied Probability, 2018 The capitalization-weighted total relative variation $\sum_{i=1}^d \int_0^\cdot μ_i (t) \mathrm{d} \langle \log μ_i \rangle (t)$ in an equity market consisting of a fixed number $d$ of assets with capitalization weights $μ_i (\cdot)$ is an observable and nondecreasing function of time.
Fernholz, E. Robert +2 more
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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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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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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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Diversity and No Arbitrage [PDF]
Stochastic Analysis and Applications, 2014 14 pages, final ...
Herczegh, Attila +2 more
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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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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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Sentiment versus mood: a conceptual and empirical investigation [PDF]
Journal of Capital Markets Studies, 2019 Purpose – The purpose of this paper is to investigate whether sentiment and mood, which are distinct theoretical concepts, can also be distinguished empirically.
Albert Rapp
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Sound Deposit Insurance Pricing Using a Machine Learning Approach
Risks, 2019 While the main conceptual issue related to deposit insurances is the moral hazard risk, the main technical issue is inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage.
Hirbod Assa +2 more
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