Results 321 to 330 of about 156,527 (368)
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STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK
Journal of Economic Surveys, 2017This survey reviews the growing literature on pairs trading frameworks, i.e., relative-value arbitrage strategies involving two or more securities. The available research is categorized into five groups: The distance approach uses nonparametric distance ...
C. Krauss
exaly +2 more sources
Annual Review of Financial Economics, 2010
We survey theoretical developments in the literature on the limits of arbitrage. This literature investigates how costs faced by arbitrageurs can prevent them from eliminating mispricings and providing liquidity to other investors. Research in this area is currently evolving into a broader agenda, emphasizing the role of financial institutions and ...
Dimitri Vayanos +3 more
openaire +3 more sources
We survey theoretical developments in the literature on the limits of arbitrage. This literature investigates how costs faced by arbitrageurs can prevent them from eliminating mispricings and providing liquidity to other investors. Research in this area is currently evolving into a broader agenda, emphasizing the role of financial institutions and ...
Dimitri Vayanos +3 more
openaire +3 more sources
SSRN Electronic Journal, 2018 AbstractWe study the dynamics of cash-and-carry arbitrage using the U.S. crude oil market. Sizable arbitrage-related inventory movements occur at the New York Mercantile Exchange (NYMEX) futures contract delivery point but not at other storage locations, where instead, operational factors explain most inventory changes.
Louis H. Ederington +4 more
openaire +2 more sources
Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns
Journal of Financial Economics, 2017This paper documents a significantly negative cross-sectional relation between left-tail risk and future returns on individual stocks trading in the US and international countries.
Yigit Atilgan +3 more
semanticscholar +1 more source
Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models*
Journal of Financial Econometrics, 2018We propose a general method for the Bayesian estimation of a very broad class of non-linear no-arbitrage term-structure models. The main innovation we introduce is a computationally efficient method, based on deep learning techniques, for approximating
Marcello Pericoli, Marco Taboga
semanticscholar +1 more source
Impact of battery degradation on energy arbitrage revenue of grid-level energy storage
Journal of Energy Storage, 2017 Audun Botterud
exaly +2 more sources
Market arbitrage versus agent arbitrage
Omega, 2004Abstract The present paper provides conditions for the consistency among different orderings which may be defined on sets of financial portfolios; in particular, a different reading key for some classical results is proposed. Besides arbitrage (whose impossibility is necessary and sufficient for consistency between the orderings based on prices and ...
openaire +3 more sources
IEEE Transactions on Power Systems, 2018
This work proposes an analytical approach for reactive power dispatch and energy arbitrage in grid-connected distribution systems with distributed energy resources.
Oktoviano Gandhi +5 more
semanticscholar +1 more source
This work proposes an analytical approach for reactive power dispatch and energy arbitrage in grid-connected distribution systems with distributed energy resources.
Oktoviano Gandhi +5 more
semanticscholar +1 more source
Arbitrage Trading: The Long and the Short of It
The Review of financial studies, 2018We examine net arbitrage trading (NAT) measured by the difference between quarterly abnormal hedge fund holdings and abnormal short interest. NAT strongly predicts stock returns in the cross-section.
Yong Chen, Zhi Da, Dayong Huang
semanticscholar +1 more source
Journal of futures markets, 2019
We examine how investors arbitrage the Bitcoin spot and futures markets. Using intraday data of the Chicago Board Options Exchange (CBOE), we reconstruct the actual arbitrage condition that investors confront.
Takahiro Hattori, Ryo Ishida
semanticscholar +1 more source
We examine how investors arbitrage the Bitcoin spot and futures markets. Using intraday data of the Chicago Board Options Exchange (CBOE), we reconstruct the actual arbitrage condition that investors confront.
Takahiro Hattori, Ryo Ishida
semanticscholar +1 more source