Results 341 to 350 of about 37,249 (382)
Economic Theory Bulletin, 2015 We extend the refinement of information process introduced by Cornet and De Boisdeffre (Econ Theory 38:287–293, 2009) to a model with uncountably many states of nature. This setting has the larger scope. It encompasses, in particular, the Cornet and De Boisdeffre (J Math Econ 38:393–410, 2002) model, where agents may have private information, and De ...
Lionel de Boisdeffre +1 more
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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
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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
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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
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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 ...
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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
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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
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1998
The chapter starts with a detailed discussion of the bank account in discrete and continuous time. The Black–Scholes model is then introduced, and using the principle of no arbitrage we study the problem of pricing an arbitrary financial derivative within this model.
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The chapter starts with a detailed discussion of the bank account in discrete and continuous time. The Black–Scholes model is then introduced, and using the principle of no arbitrage we study the problem of pricing an arbitrary financial derivative within this model.
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Approximate Arbitrage: The Arbitrage Pricing Technique
1991This chapter extends the concept of arbitrage to encompass approximate arbitrage and develops the arbitrage pricing technique (or APT); this may be interpreted as a generalisation of the version of the CAPM developed in Chapter 3.
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The Journal of Finance, 1985
ABSTRACTThis paper characterizes conditions under which asset returns and consumption are consistent with risk‐averse preferences. It is shown that risk aversion is equivalent to “zero arbitrage” on a transformation of the payoff space. The implicit state prices which are dual to this no‐arbitrage condition can be interpreted as prices of “pure ...
Green, Richard C, Srivastava, Sanjay
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ABSTRACTThis paper characterizes conditions under which asset returns and consumption are consistent with risk‐averse preferences. It is shown that risk aversion is equivalent to “zero arbitrage” on a transformation of the payoff space. The implicit state prices which are dual to this no‐arbitrage condition can be interpreted as prices of “pure ...
Green, Richard C, Srivastava, Sanjay
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, 1991 I report the results of nine experimental asset market sessions. The traded assets were contingent claims on two "states" with known state probabilities and identical aggregate payoffs across states. Since subjects could diversify away all idiosyncratic risks, this results in prices predicted to equal expected values regardless of risk preferences.
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2008
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors.
Gur Huberman, Zhenyu Wang
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Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors.
Gur Huberman, Zhenyu Wang
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