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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A evolução recente do espaço financeiro no Brasil e alguns reflexos na cena política
Dados: Revista de Ciências Sociais, 2004 Dans la dernière décennie, le Brésil a connu un essor et des changements dans son espace financier qui ont provoqué un grand impact dans la société et la composition de ses élites.
Roberto Grün
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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
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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
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A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach
Risks, 2019 This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks 2018, 6(2), 53 ...
Stanislaus Maier-Paape +2 more
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Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets [PDF]
, 2014 We study the arbitrage opportunities in the presence of transaction costs in a sequence of binary markets approximating the fractional Black-Scholes model. This approximating sequence was constructed by Sottinen and named fractional binary markets. Since,
Cordero, Fernando, Perez-Ostafe, Lavinia
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Excess profit relative to the benchmark asset under the α-confidence level
AIMS Mathematics, 2023 We introduce a generalized concept of arbitrage, excess profit relative to the benchmark asset under $ \alpha $-confidence level, $ \alpha $-REP, in a single-period market model with proportional transaction costs.
Dong Ma +3 more
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Binary market models with memory [PDF]
, 2004 We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient conditions for the binary market to be arbitrage-free.
Anh, Vo +2 more
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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
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Periodic Sequences of Arbitrage: A Tale of Four Currencies [PDF]
, 2008 This paper investigates arbitrage chains involving four currencies and four foreign exchange trader-arbitrageurs. In contrast with the three-currency case, we find that arbitrage operations when four currencies are present may appear periodic in nature ...
Cross, Rod +4 more
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