Results 41 to 50 of about 156,527 (368)
Nonequilibrium Geometric No-Arbitrage Principle and Asset Pricing Theorem
Discrete Dynamics in Nature and Society, 2023 We find a novel and intimate correspondence in the present paper between the martingale and one-parameter transformation group and develop a nonequilibrium geometric no-arbitrage principle to a frictional financial market via this correspondence. Further,
Wanxiao Tang, Peibiao Zhao
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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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Stochastic arbitrage return and its implications for option pricing [PDF]
, 2004 The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic ...
Fedotov, Sergei, Panayides, Stephanos
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Fintech, Regulatory Arbitrage, and the Rise of Shadow Banks
Journal of Financial Economics, 2017 Shadow bank market share in residential mortgage origination nearly doubled from 2007 to 2015, with particularly dramatic growth among online “fintech” lenders.
Greg Buchak +3 more
semanticscholar +1 more source
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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Weak and strong no-arbitrage conditions for continuous financial markets [PDF]
, 2014 We propose a unified analysis of a whole spectrum of no-arbitrage conditions for finan- cial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No Arbitrage ...
Fontana, Claudio
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Trading and Arbitrage in Cryptocurrency Markets
Journal of Financial Economics, 2018 Cryptocurrency markets exhibit periods of large, recurrent arbitrage opportunities across exchanges. These price deviations are much larger across than within countries, and smaller between cryptocurrencies, highlighting the importance of capital ...
I. Makarov, A. Schoar
semanticscholar +1 more source
The automated equity-split cryptocurrency arbitrage strategy [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2022 Cryptocurrency prices frequently fluctuate, which creates price differences in each market. The price gap presents an excellent opportunity for arbitrage in cryptocurrency markets.
Naratorn Boonpeam +3 more
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Energies, 2020 Electric vehicles (EV) replacing the internal combustion engine vehicle may be the solution for the particulate matter (PM) 2.5 pollution issue. However, the uncontrolled charging of EVs would challenge the power system operation.
Chitchai Srithapon +3 more
semanticscholar +1 more source
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
openaire +5 more sources