Results 211 to 220 of about 134,522 (315)
Pricing, No-arbitrage Bounds and Robust Hedging of Installment Options [PDF]
, 2001 Mark H. Davis +2 more
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S&P 500 microstructure noise components: empirical inferences from futures and ETF prices
Journal of Time Series Analysis, EarlyView.By studying the differences between futures prices and exchange‐traded fund prices for the S&P 500 index, original results are obtained about the distribution and persistence of the microstructure noise component created by positive bid‐ask spreads and discrete price scales.
Stephen J. Taylor
wiley +1 more source
An LSTM-based optimization algorithm for enhancing quantitative arbitrage trading. [PDF]
PeerJ Comput SciHan G, Li H.
europepmc +1 more source
Stock Index Spot-Futures Arbitrage Prediction Using Machine Learning Models. [PDF]
Entropy (Basel), 2022 Sheng Y, Ma D.
europepmc +1 more source
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
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 SciZeng Z +8 more
europepmc +1 more source
Pricing of Shanghai stock exchange 50 ETF options based on different volatility models. [PDF]
PLoS One, 2023 Wu Q, Kuang X, Wu B, Xu X.
europepmc +1 more source
The capital-asset-pricing model and arbitrage pricing theory: A unification
, 1997 M. Ali Khan, Yeneng Sun
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