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Arbitrage in Stationary Markets [PDF]
SSRN Electronic Journal, 2007 We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that are necessary and sufficient for the absence of arbitrage ...
Igor Evstigneev, Dhruv Kapoor
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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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Arbitrage in the Market for Cryptocurrencies [PDF]
SSRN Electronic Journal, 2020 Recent literature has documented substantial arbitrage opportunities in markets for cryptocurrencies. Given these rather surprising findings, we re-examine the exchange rates of four cryptocurrencies on 21 exchanges with data from October 2018 to June 2019.
Crépellière, Tommy +2 more
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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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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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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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Externalities as Arbitrage [PDF]
SSRN Electronic Journal, 2020 How can we assess whether macro-prudential regulations are having their intended effects? If these regulations are optimal, their marginal benefit of addressing externalities should equal their marginal cost of distorting risk-sharing. These risk-sharing distortions will manifest as trading opportunities that intermediaries are unable to exploit ...
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Economic Theory Bulletin, 2021 AbstractThis paper presents a proof of Afriat’s (Int Econ Rev 8:67–77) theorem on revealed preference by using the idea that a rational consumer should not be vulnerable to arbitrage. The main mathematical tool is the separating hyperplane theorem.
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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
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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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