Results 31 to 40 of about 855,132 (178)
“I just like the stock”: The role of Reddit sentiment in the GameStop share rally
Financial Review, Volume 58, Issue 1, Page 19-37, February 2023., 2023 Abstract This paper investigates the role played by the social media platform Reddit in the events around the GameStop (GME) share rally in early 2021. In particular, we analyze the impact of discussions on the r/WallStreetBets subreddit on the price dynamics of the American online retailer GameStop.
Suwan (Cheng) Long +3 more
wiley +1 more source
Pricing Private Data with Personalized Differential Privacy and Partial Arbitrage Freeness [PDF]
arXiv, 2021 There is a growing trend regarding perceiving personal data as a commodity. Existing studies have built frameworks and theories about how to determine an arbitrage-free price of a given query according to the privacy loss quantified by differential privacy.
arxiv
AIChE Journal, EarlyView.Abstract Integrated dynamic scheduling (IDS) and economic nonlinear model predictive control (eNMPC) enable economic operation of chemical plants subject to volatile energy prices. Herein, we combine the two concepts into an integrated two‐layer scheme. Therein, IDS performs “long‐horizon” scheduling on a day‐ahead (DA) market and eNMPC “short‐horizon”
Jan C. Schulze +3 more
wiley +1 more source
An application of Arbitrage Pricing Theory on KSE-100 Index; A study from Pakistan (2000-2005)
, 2013 Arbitrage Pricing Theory takes into account more influencing factors other than the simple systematic risk, as defined in CAPM. In this study, we aim to evaluate stock returns using Arbitrage Pricing Model considering four macroeconomic factors i.e ...
Anam Gul, N. Khan
semanticscholar +1 more source
No arbitrage without semimartingales [PDF]
Annals of Applied Probability 2009, Vol. 19, No. 2, 596-616, 2009 We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In particular, price processes that are not semimartingales are possible in our setting, for example, fractional Brownian motion.
arxiv +1 more source
Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT The past decade has witnessed an increase in stakeholder pressures for publicly‐listed firms to reduce their emissions. While most firms have been receptive to these pressures, they have also been observed to devise strategies to circumvent regulatory guidelines and avoid liabilities.
Anson Au
wiley +1 more source
Arbitrage pricing theory [PDF]
, 2005 Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and
Huberman, Gur
core
Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration
Journal of Futures Markets, EarlyView.ABSTRACT Since the inception of Volatility Index (VIX) options trading, academic literature has persistently sought accurate methods for jointly calibrating the prices of the S&P 500 index (SPX) and VIX options. This study introduces a novel nonparametric approach, called the joint implied willow tree (JIWT) method, aimed at resolving this joint ...
Bing Dong, Wei Xu, Zhenyu Cui
wiley +1 more source
Arbitrage Theory in Continuous Time
, 2019 The fourth edition of this textbook on pricing and hedging of financial derivatives, now also including dynamic equilibrium theory, continues to combine sound mathematical principles with economic applications.
T. Björk
semanticscholar +1 more source
Stochastic relaxational dynamics applied to finance: towards non-equilibrium option pricing theory
, 1999 Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory.
Otto, Matthias
core +1 more source