Results 1 to 10 of about 243,052 (302)
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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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 ...
Laurence Carassus, Miklós Rásonyi
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Measuring the Pricing Error of the Arbitrage Pricing Theory [PDF]
Review of Financial Studies, 1995 This article provides an exact Bayesian frame work for analyzing the arbitrage pricing the ory (APT). Based on the Gibbs sampler, we show how to obtain the exact posterior distributions for functions of interest in the factor modeL In particular, we propose a measure of the APT pricing deviations and obtain its exact posterior distribution.
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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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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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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Arbitrage Bounds on Currency Basket Options
Mathematical and Computational Applications, 2020 This article exploits arbitrage valuation bounds on currency basket options. Instead of using a sophisticated model to price these options, we consider a set of pricing models that are consistent with the prices of available hedging assets.
Yi Hong
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Coherent-Price Systems and Uncertainty-Neutral Valuation
Risks, 2019 This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates ambiguity about risk. This additional ambiguity motivates a new principle of risk- and ambiguity-neutral valuation as an extension of the ...
Patrick Beissner
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Results in Applied Mathematics, 2023 No-arbitrage property provides a simple method for pricing financial derivatives. However, arbitrage opportunities exist in various fields, even for a very short time.
Yasushi Ota, Yu Jiang, Daiki Maki
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