Results 71 to 80 of about 134,260 (327)
Mathematical Biosciences and Engineering, 2020 Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presence of insider information.
Bernardo D'Auria +1 more
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 +5 more sources
Trading Games: Beating Passive Strategies in the Bullish Crypto Market
Journal of Futures Markets, EarlyView.ABSTRACT This study examines the effectiveness of cointegrated pairs trading in cryptocurrency markets, introducing systematic parameter optimization within the trading framework. The analysis is conducted using a dataset comprising ten major cryptocurrencies, selected based on market capitalization and consensus mechanism, spanning the period from ...
Rafael Baptista Palazzi
wiley +1 more source
The state arbitrage in the period of economic reforms and counter-reforms in the sixties
Контуры глобальных трансформаций: политика, экономика, право, 2014 The author analyses the problems in the state-planned economy and the measures taken by the state arbitrage to cushion the consequences of them. The article is based on archival materials.
D. V. Voronin
doaj
Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours
Journal of Futures Markets, EarlyView.ABSTRACT This paper explores the trading dynamics of the options market during extended trading hours (ETHs). During ETH, the options market is characterized by low liquidity and decreased trading activities, yet there is an increased likelihood of informed trading. The introduction of ETH improves overall market liquidity on the following trading day,
Liangyi Mu, Arie E. Gozluklu
wiley +1 more source
American Depositary: A Case Study for Brazilian Market [PDF]
Journal of Systemics, Cybernetics and Informatics, 2012 Specialists often question market efficiency. Some works suggest arbitrage opportunities in several financial operations. Such opportunities can be explained mainly by information asymmetry, since pricing in the stock market is directly linked to ...
André Machado Caldeira +3 more
doaj
Financial innovation and arbitrage in the Spanish bond market [PDF]
, 2001 This paper empirically tests the level of sequential arbitrage in the Spanish bond market. The test is implemented by drawing on default free and option free pure discount and coupon bonds issued by the Spanish government.
Balbás, Alejandro, López, Susana
core +2 more sources
Narrowing the no-arbitrage bounds [PDF]
Journal of Mathematical Economics, 2008 It is shown by example and by analytic argument that the no-arbitrage bounds can be narrowed by ruling out arbitrages between asset markets and stochastic production opportunities. The key analytic construct is the derivative-cost function. The narrowed noarbitrage bounds can be calculated either as directional derivatives of the derivative-cost ...
Chambers, R.G., Quiggin, John C.
openaire +5 more sources
Determinants of Dividend Payout Policy: More Evidence From Emerging Markets of G20 Bloc
International Journal of Finance &Economics, EarlyView.ABSTRACT The purpose of this article is to examine the key factors influencing dividend payout policy in emerging markets, using a quantitative approach with a sample of 938 firms and 19,698 firm‐year observations. The study considers dividends, and share repurchases as elements of payout, analysing the effect of earnings, taxes, debt, size and free ...
Wagner Dantas de Souza Junior +2 more
wiley +1 more source
IMPLIED-IN-PRICES EXPECTATIONS: THEIR ROLE IN ARBITRAGE
Atti della Accademia Peloritana dei Pericolanti : Classe di Scienze Fisiche, Matematiche e Naturali, 2014 Real prices are created on markets by supply and demand and they do not have to follow some distributions or have some properties, which we often assume. However, prices have to follow some rules in order to make arbitrage impossible.
Sergei A. Ivanov
doaj +1 more source