Results 21 to 30 of about 1,288 (228)
Stochastic Arbitrage Opportunities: Set Estimation and Statistical Testing
MathematicsWe provide a formal statistical theory of consistent estimation of the set of all arbitrage portfolios that meet the description of being a stochastic arbitrage opportunity.
Stelios Arvanitis, Thierry Post
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Agribusiness, EarlyView.ABSTRACT This study examines food price inflation rate convergence among EU27 Member States from 2005 to 2024, focusing on structural breaks, external shocks, and regional disparities. Using panel unit root tests and club convergence analysis, the findings reveal no overall convergence but identify multiple convergence clubs.
Tibor Bareith, Imre Fertő
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Does a Specialized Niche Market Vegetable Processor Enjoy Bargaining Power?
Agribusiness, EarlyView.ABSTRACT Agribusiness companies may achieve competitive advantage through specialization within niche markets. One such niche is the fresh‐cut fruit and vegetable market, which has been steadily growing in Germany. This study examines whether the specialization of a German fresh‐cut producer grants it with market power within this niche market.
Nikolas Bublik +3 more
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Arbitrage Pricing Theory and Unanticipated Macroeconomics Components Generating Process [PDF]
مجله دانش حسابداری, 2014 Unanticipated components of macroeconomic variables have important role in testing of Arbitrage Pricing Theory, because generating techniques may lead to false interference based on statistical significance.
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Applying Heath-Jarrow-Morton Model to Forecasting the US Treasury Daily Yield Curve Rates
Mathematics, 2021 The Heath-Jarrow-Morton (HJM) model is a powerful instrument for describing the stochastic evolution of interest rate curves under no-arbitrage assumption. An important feature of the HJM approach is the fact that the drifts can be expressed as functions
Valerii Maltsev, Michael Pokojovy
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Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT This paper presents a quantitative assessment of Spanish companies' commitment to the United Nations Global Compact (UNGC) and the Sustainable Development Goals (SDGs). Analyzing over 1000 participating firms, we identify prioritization patterns and examine structural factors influencing SDG adherence.
Juan Laborda, Juan Pérez
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Econometrics, 2016 We investigate the direct connection between the uncertainty related to estimated stable ratios of stock prices and risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one.
David Ardia +3 more
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Predicting Chinese Commodity Futures Price: An EEMD-Hurst-LSTM Hybrid Approach
IEEE Access, 2023 This paper proposes an EEMD-Hurst-LSTM prediction method based on the ensemble learning framework, which is applied to the prediction of typical commodities in China’s commodity futures market.
Huang Ke +3 more
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Energy Science &Engineering, EarlyView.This work proposes a high‐fidelity, simulation‐driven control framework for robust grid integration of hybrid PV–wind systems using a modular, hierarchical multi‐loop architecture with adaptive decision logic. The framework coordinates power, DC‐link voltage, and grid currents under fast load and generation changes, enabling safe exploration of extreme
Wulfran Fendzi Mbasso +5 more
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Optimal Variance Forecasting in a Trading Context
Journal of Forecasting, EarlyView.ABSTRACT In financial trading, the economic value of return and variance forecasts arises from three key components: an investor's risk preference, the quality of return predictions, and the accuracy of risk estimates. This study isolates the third component—risk knowledge—and demonstrates that its contribution is a non‐linear function of realized and ...
Nick Taylor
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