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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
doaj +1 more source
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
doaj +1 more source
Demand flexibility modelling for long term optimal distribution grid planning
IET Generation, Transmission &Distribution, Volume 16, Issue 24, Page 5002-5014, December 2022., 2022 Abstract Optimisation tools for long‐term grid planning considering flexibility resources require aggregated flexibility models that are not too computationally demanding or complex. Still, they should capture the operational benefits of flexibility sufficiently accurately for planning purposes.
Espen Flo Bødal +6 more
wiley +1 more source
Binary market models with memory [PDF]
, 2004 We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient conditions for the binary market to be arbitrage-free.
Anh, Vo +2 more
core +2 more sources
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.
openaire +3 more sources
Periodic Sequences of Arbitrage: A Tale of Four Currencies [PDF]
, 2008 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 ...
Cross, Rod +4 more
core +6 more sources
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 ...
openaire +2 more sources
How Green Banks can create multiple types of value in the transition to net zero emissions
Australian Journal of Public Administration, EarlyView., 2023 Abstract Current levels of investment are insufficient to meet the goals of the Paris Agreement, and private sector funding shortfalls are acute. Despite this, little research has been undertaken into Green Banks, a new form of institution which mixes public and private institutional logics to mobilise additional private investment in the net zero ...
Michelle Lyons, Lee Victoria White
wiley +1 more source
Survey on the application of deep learning in algorithmic trading
Data Science in Finance and Economics, 2021 Algorithmic trading is one of the most concerned directions in financial applications. Compared with traditional trading strategies, algorithmic trading applications perform forecasting and arbitrage with higher efficiency and more stable performance ...
Yongfeng Wang, Guofeng Yan
doaj +1 more source
Trading Volume and Arbitrage [PDF]
4th Annual International Conference on Accounting and Finance (AF 2014), 2014 Decomposing returns into market and stock specific components is common practice and forms the basis of popular asset pricing models. What about volume? Can volume be decomposed in the same way as returns? Lo and Wang (2000) suggest such a decomposition. Our paper contributes to this literature in two different ways.
Darolles, Serge, Le Fol, Gaëlle
openaire +8 more sources