Results 21 to 30 of about 7,005,793 (301)

An Open-Source Energy Arbitrage Model Involving Price Bands for Risk Hedging with Imperfect Price Signals

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

Insider information and its relation with the arbitrage condition and the utility maximization problem

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, José Antonio Salmerón   +1 more
doaj   +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, Cătălina Alexandra Vîrlan   +1 more
semanticscholar   +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, Adrien Deleplace, Adrien Misko   +2 more
doaj   +1 more source

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
doaj   +1 more source

Squeezing the Bears: Cornering Risk and Limits on Arbitrage During the ‘British Bicycle Mania’, 1896–8

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

Coherent-Price Systems and Uncertainty-Neutral Valuation

Risks, 2019
This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates ambiguity about risk. This additional ambiguity motivates a new principle of risk- and ambiguity-neutral valuation as an extension of the ...
Patrick Beissner
doaj   +1 more source

The Absence of Arbitrage on the Complete Black-Scholes-Merton Regime-Switching Lévy Market

Ekonometria, 2021
The main aim of the paper was to prove that the complete Black-Scholes-Merton regime- -switching Lévy market is characterized by an absence of arbitrage.
Anna Sulima
doaj  

Foreign Investment, Regulatory Arbitrage, and the Risk of U.S. Banking Organizations

Journal of Financial and Quantitative Analysis, 2017
This study investigates the implications of cross-country differences in banking regulation and supervision for the international subsidiary locations and risk of U.S. bank holding companies (BHCs).
W. Frame, Atanas Mihov, Leandro Sanz
semanticscholar   +1 more source

Pairs trading of nearly identical twin stocks: The case of GOOGL versus GOOG

South African Journal of Business Management
Purpose: As computer technology and statistical methods advance, statistical arbitrage research focuses on developing more sophisticated trading methods.
Che-Ming Yang, An-Sing Chen
doaj   +1 more source