Results 21 to 30 of about 156,527 (368)
The Annals of Applied Probability, 2010 In a Markovian model for a financial market, we characterize the best arbitrage with respect to the market portfolio that can be achieved using nonanticipative investment strategies, in terms of the smallest positive solution to a parabolic partial differential inequality; this is determined entirely on the basis of the covariance structure of the ...
Fernholz, Daniel, Karatzas, Ioannis
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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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Diversity and No Arbitrage [PDF]
Stochastic Analysis and Applications, 2014 14 pages, final ...
Vilmos Prokaj +2 more
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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 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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SSRN Electronic Journal, 2020 We fully characterize the absence of Butterfly arbitrage in the SVI formula for implied total variance proposed by Gatheral in 2004. The main ingredient is an intermediary characterization of the necessary condition for no arbitrage obtained for any model by Fukasawa in 2012 that the inverse functions of the -d1 and -d2 of the Black-Scholes formula ...
Claude Martini, Arianna Mingone
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Arbitrage Capital of Global Banks
Finance and Economics Discussion Series, 2021 We show that the role of unsecured, short-term wholesale funding for global banks has changed significantly in the post-financial-crisis regulatory environment. Global banks mainly use such funding to finance liquid, near risk-free arbitrage positions—in
A. Anderson, Wenxin Du, Bernd Schlusche
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Games in a foreign exchange market and solutions
Financial Internet Quarterly, 2023 Exchange rate and its related risk management are too important for main participants in foreign exchange markets. There are many approaches developed in the literature for studying risk management say arbitrage detection, say finding replication ...
Habibi Reza
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IEEE Transactions on Smart Grid, 2020 Accurate estimation of battery degradation cost is one of the main barriers for battery participating on the energy arbitrage market. This paper addresses this problem by using a model-free deep reinforcement learning (DRL) method to optimize the battery
Jun Cao +5 more
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Cyclic Arbitrage in Decentralized Exchange Markets
Social Science Research Network, 2021 In May 2020, Uniswap V2 was officially launched on Ethereum. Uniswap V2 allows users to create trading pools between any pair of cryptocurrencies, without the need for ETH as an intermediary currency.
Ye Wang +3 more
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