Results 61 to 70 of about 156,527 (368)
Market models with optimal arbitrage [PDF]
, 2013 We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to superreplicate ...
Chau, Huy N., Tankov, Peter
core
Product differentiation in the fruit industry: Lessons from trademarked apples
Agribusiness, EarlyView.Abstract We derive price premiums for patented or trademarked apple varieties, also known as “club apples,” compared to open‐variety apples. We use an expansive retail scanner dataset, along with unique data on apple taste characteristics, to estimate monthly club apple premiums for 2008–2018.
Modhurima Dey Amin +3 more
wiley +1 more source
Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs [PDF]
, 2009 This paper analyzes possible arbitrage opportunities in credit derivatives markets using selffinancing strategies combining Credit Default Swaps and Asset Swaps Packages.
Mayordomo, Sergio +2 more
core +1 more source
Stochastic Processes and their Applications, 1998 AbstractAn arbitrage opportunity is constructed in a frictionless stock market when price processes have continuous sample paths of bounded p-variation with p∈[1,2).
openaire +3 more sources
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
openaire +3 more sources
The value of informational arbitrage [PDF]
Finance and Stochastics, 2018 36 ...
Chau H. N., Cosso A., Fontana C.
openaire +7 more sources
Agribusiness, EarlyView.Abstract Futures markets are critical to price discovery and often dominate spot markets. We analyze the linkages between daily corn futures and spot prices in the United States using dynamic time warping. This nonparametric pattern recognition technique has several advantages over traditional time series methods.
Dragan Miljkovic +2 more
wiley +1 more source
Arbitrage and investment opportunities [PDF]
Finance and Stochastics, 2001 We consider a model in which any investment opportunity is described in terms of cash flows. We don't assume that there is a numeraire, enabling investors to transfer wealth through time; the time horizon is not supposed to be finite and the investment opportunities are not specifically related to the buying and selling of securities on a financial ...
Jouini, Elyès, Napp, Clotilde
openaire +7 more sources
The Relationship Between Interest Rates and Agricultural Commodity Price Dynamics
Agribusiness, EarlyView.ABSTRACT The U.S. Federal Reserve has undertaken several interest rate interventions in the past decade. This study explores the relationship between U.S. corn and soybean prices and Federal Reserve monetary policy interventions, in the short and long run.
Zhining Sun, Ani L. Katchova
wiley +1 more source
Mednarodno Inovativno Poslovanje, 2022 Russia's invasion of Ukraine is creating instability in the financial markets, with European stock markets falling, and the effects reflected in energy and food prices.
Catarina Revez +4 more
doaj +1 more source