Results 21 to 30 of about 139,496 (320)
Stochastic arbitrage return and its implications for option pricing [PDF]
, 2004 The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic ...
Fedotov, Sergei, Panayides, Stephanos
core +3 more sources
SSRN Electronic Journal, 2010 This paper is studies the general equilibrium implications of arbitrage trades by strategic players in segmented financial markets. Arbitrageurs exploit client`ele effects and choose to specialize in one category of trades, taking into consideration all other arbitrage strategies. This results in an equilibrium network of arbitrageurs.
Rahi, Rohit, Zigrand, Jean-Pierre
openaire +3 more sources
Nonequilibrium Geometric No-Arbitrage Principle and Asset Pricing Theorem
Discrete Dynamics in Nature and Society, 2023 We find a novel and intimate correspondence in the present paper between the martingale and one-parameter transformation group and develop a nonequilibrium geometric no-arbitrage principle to a frictional financial market via this correspondence. Further,
Wanxiao Tang, Peibiao Zhao
doaj +1 more source
Application of Stochastics Dominance via Quantile Regression in Analysis of Arbitrage Opportunities Market Efficiency and Investors Preferences [PDF]
تحقیقات مالی, 2021 Objective: The stochastic dominance theory has extensively employed in various financial fields because it is not necessary to assume a specific distribution of returns, such as normal distribution.
Moslem Peymany Foroushany +2 more
doaj +1 more source
Journal of Financial and Quantitative Analysis, 2020 AbstractHow does greater public disclosure of arbitrage activity and informed trading affect price efficiency? To answer this, we exploit rule amendments in U.S. securities markets, which impose a higher frequency of public disclosure of short positions.
openaire +1 more source
On arbitrages arising from honest times [PDF]
, 2013 In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits.
A. Grorud +40 more
core +3 more sources
Allocation of Energy Storage Systems in a Hydro-Thermal-Wind System [PDF]
Brazilian Archives of Biology and TechnologyStrong concerns over greenhouse gas emissions have required the construction of non-polluting energy sources such as wind farms and photovoltaic plants. This need, combined with recent technological developments, has enabled the global installed capacity
Alvaro Augusto Waldrigues de Almeida +1 more
doaj +1 more source
Recent trends in the financial field in Brazil and their impact on the political scenario
Dados: Revista de Ciências Sociais, 2005 During the last decade Brazil has witnessed the expansion and differentiation of its financial field, with a major impact on society and the composition of its elites.
Roberto Grün, Knight Dundonald Campbell
doaj +1 more source
Detection of arbitrage opportunities in multi-asset derivatives markets
Dependence Modeling, 2021 We are interested in the existence of equivalent martingale measures and the detection of arbitrage opportunities in markets where several multi-asset derivatives are traded simultaneously.
Papapantoleon Antonis +1 more
doaj +1 more source
Interest rates sensitivity arbitrage – theory and practical assesment for financial market trading
Business, Management and Economics Engineering, 2021 Purpose – Nowadays popular algorithmic trading uses many strategies which are algoritmizable and promise profitability. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known as ...
Bohumil Stadnik
doaj +1 more source