Results 181 to 190 of about 1,288 (228)

Hjb Equation And Statistical Arbitrage Applied To High Frequency Trading

, 2013
Yonggi Park
openalex   +1 more source

Statistical Arbitrage in S&P500

, 2016
Stefanos Drakos
openalex   +2 more sources

State‐Dependent Relationship Between Cryptocurrency Returns and Credit Spreads

European Financial Management, Volume 32, Issue 1, Page 261-287, January 2026.
ABSTRACT This study investigates how overconfident cryptocurrency traders influence the connection between returns and risk premia, proxied by option‐adjusted credit spreads. Using daily data from January 2021 to February 2025, we uncover asymmetry and state dependence: returns decline when spreads widen, particularly during crashes, yet they do not ...
Geul Lee, Doojin Ryu
wiley   +1 more source

Explaining the Big Mac Urban‐Rural Price Gap in the United States

Journal of Regional Science, Volume 66, Issue 1, Page 124-139, January 2026.
ABSTRACT The Law of One Price (LOP) is a fundamental economic principle, yet its application in regional studies often excludes rural areas due to data limitations. We analyze price equalization across the US using Big Mac prices to address this gap. Our analysis focuses on three key questions: (i) Is there evidence of price equalization between urban ...
Fernanda Alfaro, Scott Loveridge, Dusan Paredes, Mark Skidmore   +3 more
wiley   +1 more source

Optimizing EV charging stations and power trading with deep learning and path optimization. [PDF]

PLoS One
Zhu Q.
europepmc   +1 more source

Pricing and Hedging of SOFR Derivatives

Mathematical Finance, Volume 36, Issue 1, Page 180-202, January 2026.
ABSTRACT The London Interbank Offered Rate (LIBOR) has served since the 1970s as a fundamental measure for floating term rates across multiple currencies and maturities. However, in 2017, the Financial Conduct Authority announced the discontinuation of LIBOR from the end of 2021, and the New York Fed declared the Treasury repo financing rate, called ...
Matthew Bickersteth, Yining Ding, Marek Rutkowski   +2 more
wiley   +1 more source

Term Structure Shapes and Their Consistent Dynamics in the Svensson Family

Mathematical Finance, Volume 36, Issue 1, Page 140-155, January 2026.
ABSTRACT We examine the shapes attainable by the forward‐ and yield‐curve in the widely‐used Svensson family, including the Nelson‐Siegel and Bliss subfamilies. We provide a complete classification of all attainable shapes and partition the parameter space of each family according to these shapes.
Martin Keller‐Ressel, Felix Sachse
wiley   +1 more source

Artificial intelligence for algorithmic trading digital assets: evidence from the Counter-Strike 2 skin market. [PDF]

Front Artif Intell
Guede-Fernández F, Wagle Y, Dias P, Giordano AP, Henriques L, Costa G, Azevedo S.   +6 more
europepmc   +1 more source

Dynamically Consistent Analysis of Realized Covariations in Term Structure Models

Mathematical Finance, Volume 36, Issue 1, Page 203-236, January 2026.
ABSTRACT In this article, we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no‐arbitrage setting. This is, in particular, motivated by the problem of identifying the number of statistically relevant factors in the bond market under minimal conditions.
Dennis Schroers
wiley   +1 more source