Results 31 to 40 of about 140,743 (312)
SSRN Electronic Journal, 2010 This paper is studies the general equilibrium implications of arbitrage trades by strategic players in segmented financial markets. Arbitrageurs exploit client`ele effects and choose to specialize in one category of trades, taking into consideration all other arbitrage strategies. This results in an equilibrium network of arbitrageurs.
Rahi, Rohit, Zigrand, Jean-Pierre
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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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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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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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On arbitrages arising from honest times [PDF]
, 2013 In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits.
A. Grorud +40 more
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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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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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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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Excess profit relative to the benchmark asset under the α-confidence level
AIMS Mathematics, 2023 We introduce a generalized concept of arbitrage, excess profit relative to the benchmark asset under $ \alpha $-confidence level, $ \alpha $-REP, in a single-period market model with proportional transaction costs.
Dong Ma +3 more
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Periodic Sequences of Arbitrage: A Tale of Four Currencies [PDF]
, 2010 This paper investigates arbitrage chains involving four currencies and four foreign exchange trader-arbitrageurs. In contrast with the three-currency case, we find that arbitrage operations when four currencies are present may appear periodic in nature ...
Applegate +42 more
core +3 more sources