Results 11 to 20 of about 87,733 (349)
Can You Hear the Shape of a Market? Geometric Arbitrage and Spectral Theory
Axioms, 2021 Utilizing gauge symmetries, the Geometric Arbitrage Theory reformulates any asset model, allowing for arbitrage by means of a stochastic principal fibre bundle with a connection whose curvature measures the “instantaneous arbitrage capability”.
Simone Farinelli, Hideyuki Takada
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Agricultural arbitrage and risk preferences [PDF]
Journal of Econometrics, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Pope, Rulon D. +2 more
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Detection of arbitrage opportunities in multi-asset derivatives markets
Dependence Modeling, 2021 We are interested in the existence of equivalent martingale measures and the detection of arbitrage opportunities in markets where several multi-asset derivatives are traded simultaneously.
Papapantoleon Antonis +1 more
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China Economic Quarterly International, 2022 We set up a general equilibrium model of Chinese wealth management products (WMPs), which are deeply rooted in traditional Chinese commercial banks. According to this model, we proposed two hypotheses, namely, the regulatory arbitrage and information ...
Yeni Huang, Bian Zhou, Liya Liu
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Investor Sentiment, Firm Characteristics and Arbitrage Risk The Arbitrage Factor
SSRN Electronic Journal, 2018 Xiao Han
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Sound Deposit Insurance Pricing Using a Machine Learning Approach
Risks, 2019 While the main conceptual issue related to deposit insurances is the moral hazard risk, the main technical issue is inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage.
Hirbod Assa +2 more
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Borsa Istanbul Review, 2023 This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches.
Saba Kausar +2 more
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IEEE Access, 2019 Arbitrage risk management is a very hot and challengeable topic in the commodity future market. To resist the possible risk of an arbitrage, exchanges have to withdraw margin from clients referring to the case of maximum risk.
Feng He, Yan-Dong Wen
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Quantile hedging for contingent claims in an uncertain financial environment
AIMS Mathematics, 2023 This paper first studies the quantile hedging problem of contingent claims in an uncertain market model. A special kind of no-arbitrage, that is, the absence of immediate profit, is characterized.
Jun Zhao, Peibiao Zhao
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Liquidity risk and arbitrage pricing theory [PDF]
Finance and Stochastics, 2004 The purpose of this paper is to develop a model for the inclusion of liquidity risk into arbitrage pricing theory that incorporates the impact of differing trade sizes on the price. The approach is consistent with price inelasticities. It is done by hypothesizing the existence of stochastic supply curve for a security price as a function of a trade ...
Çetin, Umut +2 more
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