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Spatial Competition, Arbitrage, and Risk in U.S. Soybeans [PDF]
Journal of Agricultural and Resource Economics, 2015 This paper analyzes spatial arbitrage and vertical integration of a U.S. soybean-trading firm. A risk-constrained optimization model using Monte Carlo simulation and copula joint distributions is specified.
Kristopher Skadberg +3 more
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Emerging markets' response to COVID-19: Insights from arbitrages strategies [PDF]
HeliyonGlobal capital markets are sensitive to extreme and physical events. This research explores the influence of COVID-19 on cross-border arbitrage strategies in emerging markets.
Wang Jialu +3 more
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Takeovers, Freezeouts, and Risk Arbitrage [PDF]
GamesThis paper develops a dynamic model of tender offers in which there is trading on the target’s shares during the takeover, and bidders can freeze out target shareholders (compulsorily acquire remaining shares not tendered at the bid price), features that
Armando Gomes
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The application of the improved option parity arbitrage model in SSE 50ETF option [PDF]
E3S Web of Conferences, 2021 The SSE 50ETF option is China's first stock index option product launched in 2015. For a number of reasons, the options market can sometimes create arbitrage opportunities.
Xu Liu
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Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [PDF]
تحقیقات مالی, 2020 Objective: The relationship between idiosyncratic volatility and expected return in finance has become a puzzle. While, based on modern portfolio theory, the relationship between risk and expected return is positive, many studies find a negative ...
Mehdi Asima, Reza Eyvazloo
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Cross-currency credit spreads: harvesting the idiosyncratic basis as a source of ARP [PDF]
Seonmul yeongu, 2022 This paper identifies the “idiosyncratic basis”, the residual premia computed from stripping away the hypothetical cross-currency basis (CCB) from the cross-currency credit spread (CCCS) of eligible senior corporate dollar-denominated bonds relative to ...
Karim Henide
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Mean‐ ρ$\rho$ portfolio selection and ρ$\rho$ ‐arbitrage for coherent risk measures [PDF]
Mathematical Finance, 2020 We revisit mean‐risk portfolio selection in a one‐period financial market where risk is quantified by a positively homogeneous risk measure ρ$\rho$ . We first show that under mild assumptions, the set of optimal portfolios for a fixed return is nonempty ...
Martin Herdegen, Nazem Khan
semanticscholar +1 more source
Games in a foreign exchange market and solutions
Financial Internet Quarterly, 2023 Exchange rate and its related risk management are too important for main participants in foreign exchange markets. There are many approaches developed in the literature for studying risk management say arbitrage detection, say finding replication ...
Habibi Reza
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A Risk Characterization of Regulatory Arbitrage in Financial Markets
European Business Organization Law Review, 2021 This article analyses regulatory arbitrage in financial markets from a risk-based perspective. It assesses regulatory arbitrage in terms of the risk it may pose to the attainment of a regulatory objective, in this case financial stability.
Andrea Minto +2 more
semanticscholar +1 more source
The automated equity-split cryptocurrency arbitrage strategy [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2022 Cryptocurrency prices frequently fluctuate, which creates price differences in each market. The price gap presents an excellent opportunity for arbitrage in cryptocurrency markets.
Naratorn Boonpeam +3 more
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