Results 31 to 40 of about 243,052 (302)

Forecasting semi-stationary processes and statistical arbitrage

Statistical Theory and Related Fields, 2020
If a financial derivative can be traded consecutively and its terminal payoffs can be adjusted as the sum of a bounded process and a stationary process, then we can use the moving average of the historical payoffs to forecast and the corresponding errors
Si Bao, Shi Chen, Wei An Zheng, Yu Zhou
doaj   +1 more source

A pricing model for subscriptions in data transactions

Connection Science, 2022
With the increasing demands for data, the subscription scheme came into being in the face of pricing for an extensive and unfixed number of data items. However, in the existing subscription scheme, a diversity of customers in the real market may lead to ...
Bo Li, Minrui Wu, Zhongcheng Li, Yi Sun
doaj   +1 more source

An Analysis of the Impact of Selected Factors on the Bond Market

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2018
Exchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums.
Blanka Francová
doaj   +1 more source

Does a Specialized Niche Market Vegetable Processor Enjoy Bargaining Power?

Agribusiness, EarlyView.
ABSTRACT Agribusiness companies may achieve competitive advantage through specialization within niche markets. One such niche is the fresh‐cut fruit and vegetable market, which has been steadily growing in Germany. This study examines whether the specialization of a German fresh‐cut producer grants it with market power within this niche market.
Nikolas Bublik, Franziska Mittag, Laura Hellstern, Sebastian Hess   +3 more
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, Giovanna Lamastra Pacheco, Walter Gassenferth, Maria Augusta Soares Machado   +3 more
doaj  

The Laws of Motion of the Broker Call Rate in the United States

International Journal of Financial Studies, 2019
In this paper, which is the third installment of the author’s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin ...
Alex Garivaltis
doaj   +1 more source

Does investors’ site visits improve the capital market pricing efficiency?

Heliyon, 2023
This article empirically tested the impact of investors' site visits on capital market pricing efficiency. Leveraging the data from 2009 to 2022 of Shenzhen Stock Exchange's listed companies, we found that: (1) Investors' site visits could reduce stock ...
Nian Li, Runsen Yuan, Muhammad Asif Khan, Xiaofeng Yang, Nosherwan Khaliq, Xi Zhang   +5 more
doaj   +1 more source

Vertical Price Transmission in Food Markets: New Evidence From Meta‐Analysis

Agribusiness, EarlyView.
ABSTRACT A growing body of empirical research has examined price dynamics along the food supply chain, yet findings remain heterogeneous and often conflicting. This study conducts a meta‐analysis of 140 studies, totaling 652 observations, to examine (1) the reported presence of asymmetric price transmission and (2) the reported direction of price ...
Sushan K C, Xiaoli Etienne, Andres Trujillo‐Barrera   +2 more
wiley   +1 more source

Mean-Reverting Statistical Arbitrage Strategies in Crude Oil Markets

Risks
In this paper, we introduce the concept of statistical arbitrage through the definition of a mean-reverting trading strategy that captures persistent anomalies in long-run relationships among assets. We model the statistical arbitrage proceeding in three
Viviana Fanelli
doaj   +1 more source

Rating of LQ-45 stock index performance credibility in Indonesia Stock Exchange

Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, 2019
This study aims to analyze stock performance credibility using the Capital Asset Pricing Model (CAPM) method, the Arbitrage Pricing Theory (APT) method, the Fama-French Three-Factor Model (FFTFM), and the 2013-2017 LQ-45 Stock Performance rating.
Tona Aurora Lubis, Ade Octavia, Widyanti Fitri   +2 more
doaj   +1 more source