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Arbitrage, Equilibrium, and Nonsatiation [PDF]
SSRN Electronic Journal, 2004 In his seminal paper on arbitrage and competitive equilibrium in unbounded exchange economies, Werner (Econometrica, 1987)proved the existence of a competitive equilibrium, under a price no-arbitrage condition, without assuming either local or global nonsatiation.
Nizar Allouch +2 more
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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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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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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.
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Arbitrage and investment opportunities [PDF]
Finance and Stochastics, 2001 This paper deals with a general financial model in which any investment opportunity is described in terms of cash flows that it generates. The investment opportunities are assumed to be quite general. The time horizon is not supposed to be finite. The authors don't assume that there exists a numéraire, enabling investors to transfer wealth from one ...
Jouini, Elyès, Napp, Clotilde
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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
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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
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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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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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Pairs trading of nearly identical twin stocks: The case of GOOGL versus GOOG
South African Journal of Business ManagementPurpose: As computer technology and statistical methods advance, statistical arbitrage research focuses on developing more sophisticated trading methods.
Che-Ming Yang, An-Sing Chen
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