Results 81 to 90 of about 156,527 (368)
Statistical Arbitrage in Cryptocurrency Markets
Journal of Risk and Financial Management, 2019 Machine learning research has gained momentum—also in finance. Consequently, initial machine-learning-based statistical arbitrage strategies have emerged in the U.S.
Thomas G. Fischer +2 more
semanticscholar +1 more source
Static arbitrage bounds on basket option prices [PDF]
Mathematical programming, 2003 We consider the problem of computing upper and lower bounds on the price of an European basket call option, given prices on other similar options. Although this problem is hard to solve exactly in the general case, we show that in some instances the ...
A. d'Aspremont, L. Ghaoui
semanticscholar +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT Artificial intelligence and big data are increasingly being integrated into sustainable entrepreneurship practices. Yet, conventional literature often neglects to critically examine their economic, environmental, and social implications. We conducted a systematic literature review to understand when, how, and for whom artificial intelligence ...
Nathanael Ojong
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
Evaluating the Resilience of ESG Investments in European Markets During Turmoil Periods
Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT This study investigates the resilience of Environmental, Social, and Governance (ESG) investments during periods of financial instability, comparing them with traditional equity indices of the three largest economies in the European Union by gross domestic product: Germany, France, and Italy.
Barbara Iannone +2 more
wiley +1 more source
Energies, 2021 Energy storage systems are expected to play a fundamental part in the integration of increasing renewable energy sources into the electric system. They are already used in power plants for different purposes, such as absorbing the effect of intermittent ...
Carlos García-Santacruz +3 more
doaj +1 more source
Asymptotic arbitrage in the Heston model [PDF]
, 2014 In the context of the Heston model, we establish a precise link between the set of equivalent martingale measures, the ergodicity of the underlying variance process and the concept of asymptotic arbitrage proposed in Kabanov-Kramkov and in Follmer ...
Haba, Fatma, Jacquier, Antoine
core +4 more sources
Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT In the context of the global green transformation of supply chains, corporate greenwashing has exhibited a networked diffusion trend, yet the role of chain leaders in this governance process remains unclear. Based on resource orchestration theory (ROT), this study uses data from Chinese A‐share listed firms and their supply chain partners ...
Zhe Sun +4 more
wiley +1 more source
The Influence of Hedge, Arbitrage, and After-Hours Trading on the Holding Returns of TAIEX Futures
Axioms, 2023 This study points out a new explanation of the non-trading effect of financial derivatives from the perspective of hedging demand. We examine the influence of hedging demand on the non-trading effect of TAIEX (Taiwan Stock Exchange Capitalization ...
Chien-Chih Lin +3 more
doaj +1 more source
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