Results 1 to 10 of about 891 (167)
Research on Amazon's stock price forecasting based on arbitrage pricing model based on big data
Ain Shams Engineering Journal, 2023 The generation of big data is based on the network data generated when people use Internet information systems to interact. Big data can reflect the general laws of specific fields and industries, provide more accurate references for decision makers and ...
Haocheng Du
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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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Intertemporal Arbitrage Pricing Theory [PDF]
Review of Financial Studies, 1992 It is shown that the arbitrage pricing theory holds in each infinitesimal period of a continuous trading model under the assumption that dividend payoffs are functionals of factor and idiosyncratic uncertainty. This generalizes the one-period model's result that the arbitrage pricing theory holds under the assumption that price changes in a given ...
John Geweke, Guofu Zhou
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Discrete Dynamics in Nature and Society, 2021 Investigating the existence and causes of idiosyncratic volatility premium puzzle in developing stock market can enrich the research on this asset pricing puzzle.
Xiaohui Chen, Jianhua Ye
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Risk-Neutral Pricing for Arbitrage Pricing Theory [PDF]
Journal of Optimization Theory and Applications, 2020 AbstractWe consider infinite-dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the superreplication cost. Then, we show the existence of optimal strategies for investors maximizing their expected utility and the ...
Carassus, Laurence, Rásonyi, Miklós
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A Meta-Analysis of the Efficiency of Options Market and the Arbitrage Strategies [PDF]
تحقیقات مالی, 2022 Objective: While inefficiencies in the financial markets are the leading cause of capital misallocation, options market efficiency is a major area of interest within this field of study.
Saeed Fathi, Zeinab Fazelian
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Arbitrage Pricing and Equilibrium Pricing: Compatibility Conditions [PDF]
SSRN Electronic Journal, 2002 The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information: the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price processes.
Jouini, Elyès, Napp, Clotilde
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Arbitrage Pricing Simplified [PDF]
SSRN Electronic Journal, 2003 The paper derives fundamental arbitrage pricing results in finite dimensions in a simple unified framework using Tucker's theorem of the alternative. Frictionless results plus those with dividends, periodic interest payments, transaction costs, different interest rates for lending and borrowing, shorting costs and constrained short selling are ...
Markku Kallio, William T. Ziemba
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Asset Arbitrage and the Price of Oil [PDF]
SSRN Electronic Journal, 2011 It is commonly understood that macroeconomic shocks influence commodity prices and that one channel for this is the link between interest rates, expected future asset returns and stockholding. In this paper the link is extended to the petroleum market with the recognition that recorded stocks of oil comprise a small share of annual demand and that the ...
Arora, Vipin, Tyers, Rod
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