Results 21 to 30 of about 87,733 (349)
Bitcoin Mining in Turkey as an Example of Speculative Entrepreneurship
Istanbul Business Research, 2022 The main purpose of this study is to determine the dimensions of speculative entrepreneurship for Bitcoin Turkish miners and to determine the motivational factors to become entrepreneurs in this area.
Ali Osman Uymaz, Ali Rıza Esmen
doaj +1 more source
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
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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
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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.
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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
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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
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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
IMPLIED-IN-PRICES EXPECTATIONS: THEIR ROLE IN ARBITRAGE
Atti della Accademia Peloritana dei Pericolanti : Classe di Scienze Fisiche, Matematiche e Naturali, 2014 Real prices are created on markets by supply and demand and they do not have to follow some distributions or have some properties, which we often assume. However, prices have to follow some rules in order to make arbitrage impossible.
Sergei A. Ivanov
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Stock-ADR Arbitrage: Microstructure Risk [PDF]
Journal of International Financial Markets, Institutions and Money, 2019 This paper is the first to highlight that the stock-ADR arbitrage pair trading found by Alsayed and McGroarty (2012) is directly influenced by the market microstructure of ADRs. In Alsayed and McGroarty (2012) they are the first to demonstrate that arbitrage opportunities exist between stocks and their ADRs, through convergence pairs trading.
Mitra, Sovan +3 more
openaire +5 more sources