PROJECTIVE SYSTEM APPROACH TO THE MARTINGALE CHARACTERIZATION OF THE ABSENCE OF ARBITRAGE [PDF]
The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a projective
María José Muñoz-Bouzo +2 more
core
Shareholder Activism: Affliction for Incumbent CEOs?
Financial Management, EarlyView.ABSTRACT We study how shareholder activism shapes CEO careers by distinguishing between two competing hypotheses: discipline and reallocation. Employing a control function approach with expected mutual fund fire sales and purchases as exclusion restrictions, we analyze 3799 US campaigns from 2006 to 2018.
Jana P. Fidrmuc +2 more
wiley +1 more source
Distribution Approach to Local Volatility for European Options in the Merton Model with Stochastic Interest Rates. [PDF]
Entropy (Basel)Nowak P, Gatarek D.
europepmc +1 more source
Residual Income Valuation and Stock Returns: Evidence From a Value‐to‐Price Investment Strategy*
Financial Review, EarlyView.ABSTRACT This paper contributes to the accounting and asset pricing anomalies literature by investigating the performance of value‐to‐price (V/P) strategies, and the relationship between V/P ratio and various risk proxies. If the V/P ratio successfully predicts future returns at stock level, we hypothesize that portfolios based on the V/P ratio ...
Ahmad Haboub +2 more
wiley +1 more source
Enhancing the pricing efficiency of financial assets with an optimized bayesian network based on efficient fusion. [PDF]
PLoS OneFu Q, Li X.
europepmc +1 more source
Asymptotic Maturity Behavior of the Term Structure [PDF]
Pricing and hedging of long-term interest rate sensitive products require to extrapolate the term structure beyond observable maturities. For the resulting limiting term structure we show two results by postulating no arbitrage in a bond market with ...
Klaas Schulze
core
Financial Markets, Institutions &Instruments, EarlyView.ABSTRACT This paper studies the determinants of banks' and fintech companies' systemic risk. We adopt both a systemic and firm‐level perspective and consider not only factors traditionally used to explain systemic riskiness, which have never been applied to the fintech sector, but also the new potential source of instability, for both banks and fintech
Domenico Curcio +3 more
wiley +1 more source
Quantum computational finance for martingale asset pricing in incomplete markets. [PDF]
Sci RepRebentrost P +4 more
europepmc +1 more source
Miners' Reward Elasticity and Stability of Competing Proof‐of‐Work Cryptocurrencies
International Economic Review, EarlyView.ABSTRACT Proof‐of‐Work cryptocurrencies employ miners to sustain the system through algorithmic reward adjustments. We develop a stochastic model of the multicurrency mining and identify conditions for stable transaction speeds. Bitcoin's algorithm requires hash supply elasticity <$<$1 for stability, while ASERT remains stable for any elasticity and ...
Kohei Kawaguchi +2 more
wiley +1 more source
Analysis of market equilibrium based on overconfidence behavior of market makers. [PDF]
PLoS OneWang R, Wang J, Yang Z.
europepmc +1 more source