Results 1 to 10 of about 7,235,439 (370)
Arbitrage risk induced by transaction costs [PDF]
Physica A: Statistical Mechanics and its Applications, 2004 We discuss the time evolution of quotation of stocks and commodities and show that they form an Ising chain. We show that transaction costs induce arbitrage risk that usually is neglected. The full analysis of the portfolio theory is computationally complex but the latest development in quantum computation theory suggests that such a task can be ...
Edward W. Piotrowski, Jan Sladkowski
openaire +4 more sources
Energies, 2023 The increased uptake of variable renewable energy sources has increased electricity price volatility in many energy pool markets, providing an opportunity for storage systems to profit through energy arbitrage.
Timothy Weber, Bin Lu
doaj +1 more source
On pricing kernels, information and risk [PDF]
, 2013 We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the ...
Gebbie, T. J., Wilcox, D. L.
core +1 more source
Risk arbitrage in emerging Europe: are cross-border mergers and acquisition deals more risky?
, 2017 Speculation spread in mergers and acquisitions (M&A), measured as the percentage difference between the offer price and the closing stock price of a target the day after the announcement, is the starting point for risk arbitrage returns, a topic ...
A. Andrieș +1 more
semanticscholar +1 more source
A preferred-habitat model of the term structure of interest rates [PDF]
, 2009 We model the term structure of interest rates as resulting from the interaction between investor clienteles with preferences for specific maturities and risk-averse arbitrageurs.
Vayanos, Dimitri, Vila, Jean-Luc
core +1 more source
Mathematical Biosciences and Engineering, 2020 Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presence of insider information.
Bernardo D'Auria +1 more
doaj +1 more source
The Economic History Review, 2019 Can limits to arbitrage explain historical asset price reversals? During the "British Bicycle Mania" of 1896-1898, cycle share prices rose by 200 per cent before falling 76 per cent from their peak value.
William Quinn
semanticscholar +1 more source
Spatial Competition, Arbitrage, and Risk in U.S. Soybeans
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
doaj +1 more source
Gaussian Process Regression for Swaption Cube Construction under No-Arbitrage Constraints
Risks, 2022 In this paper, we introduce a 3D finite dimensional Gaussian process (GP) regression approach for learning arbitrage-free swaption cubes. Based on the possibly noisy observations of swaption prices, the proposed ‘constrained’ GP regression approach is ...
Areski Cousin +2 more
doaj +1 more source
Weak and strong no-arbitrage conditions for continuous financial markets [PDF]
, 2014 We propose a unified analysis of a whole spectrum of no-arbitrage conditions for finan- cial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No Arbitrage ...
Fontana, Claudio
core +5 more sources