Results 11 to 20 of about 35,866 (300)
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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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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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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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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Key Roles of Crypto-Exchanges in Generating Arbitrage Opportunities
Entropy, 2021 The evolving crypto-currency market is seen as dynamic, segmented, and inefficient, coupled with a lack of regulatory oversight, which together becomes conducive to observing the arbitrage. In this context, a crypto-network is designed using bid/ask data
Audrius Kabašinskas, Kristina Šutienė
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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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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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Stochastic measures of arbitrage [PDF]
, 2002 Arbitrage, risk-neutral probability measure, market integration, vector optimization, dual problem, duality gap, 90A09, 90B50, 90C29,
Balbás, Alejandro +3 more
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Convexity arbitrage – the idea which does not work
Cogent Economics & Finance, 2022 Algorithmic trading, so popular nowadays, uses many strategies that are algorithmizable and promise profitability. This research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in ...
Bohumil Stádník
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