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A Review on Energy Management System for Grid-Connected Utility-Scale Renewable Hybrid Power Plants. [PDF]
Wiley Interdiscip Rev Energy EnvironZhu R, Das K, Sørensen PE, Hansen AD.
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A hype-adjusted probability measure for NLP stock return forecasting. [PDF]
Front Artif IntellCao Z, Geman H.
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Guaranteed minimum withdrawal benefits with high-water mark fee structure. [PDF]
PLoS OneHan Y, Wu L, Li D, Han J.
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Automated Market Making and Arbitrage Profits in the Presence of Fees
Financial Cryptography, 2023We consider the impact of trading fees on the profits of arbitrageurs trading against an automated marker marker (AMM) or, equivalently, on the adverse selection incurred by liquidity providers due to arbitrage.
Jason Milionis +2 more
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The Journal of Finance, 1994 Abstract The efficiency of security prices depends upon arbitrage, that is, trading based upon knowledge that the price of an asset is different from its fundamental value. (Although the term ‘arbitrage,’ strictly speaking, refers to an entirely riskless speculation, we use the term in the broader sense common among practitioners.) For ...
James Dow, Gary Gorton
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Ordering Arbitrage Portfolios and Finding Arbitrage Opportunities
SSRN Electronic Journal, 2021Concepts are introduced for analyzing arbitrage portfolios in the face of ambiguity about investor risk preferences and initial portfolio holdings. A Stochastic Arbitrage Opportunity is a self-financing overlay portfolio which enhances every feasible host portfolio for all relevant utility functions.
Stelios Arvanitis, Thierry Post
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No Arbitrage and Arbitrage Pricing: A New Approach
The Journal of Finance, 1993ABSTRACTWe argue that arbitrage‐pricing theories (APT) imply the existence of a low‐dimensional nonnegative nonlinear pricing kernel. In contrast to standard constructs of the APT, we do not assume a linear factor structure on the payoffs. This allows us to price both primitive and derivative securities.
Bansal, Ravi, Viswanathan, S
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Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?
Journal of Financial Economics, 2020We investigate whether transaction costs, arbitrage risk, and short-sale constraints explain the abnormal returns of volatility-managed equity portfolios.
Pedro Barroso, Andrew Detzel
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Intraday Arbitrage Between ETFs and their Underlying Portfolios
Journal of Financial Economics, 2020Prior research suggests that ETF arbitrage affects the market quality of underlying securities. We directly test this proposition by examining minute-by-minute returns and order imbalances, but find little evidence that trading in ETFs impacts the ...
Travis Box +3 more
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