Results 31 to 40 of about 1,288 (228)

Some Notes on the Formation of a Pair in Pairs Trading

Mathematics, 2020
The main goal of the paper is to introduce different models to calculate the amount of money that must be allocated to each stock in a statistical arbitrage technique known as pairs trading. The traditional allocation strategy is based on an equal weight
José Pedro Ramos-Requena, Juan Evangelista Trinidad-Segovia, Miguel Ángel Sánchez-Granero   +2 more
doaj   +1 more source

A Comparison of Realized Measures of Integrated Volatility: Price Duration‐ vs. Return‐Based Approaches

Journal of Forecasting, EarlyView.
ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann, Mawuli Segnon, Timo Wiedemann   +2 more
wiley   +1 more source

The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets.

PLoS ONE, 2020
Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme market events, such as flash crashes.
Alberto Ciacci, Takumi Sueshige, Hideki Takayasu, Kim Christensen, Misako Takayasu   +4 more
doaj   +1 more source

Pairs Trading Strategies in Cryptocurrency Markets: A Comparative Study between Statistical Methods and Evolutionary Algorithms

Engineering Proceedings, 2023
Pairs trading is a popular quantitative trading strategy with the advantage of a similarity in price movement to financial assets. Assuming that the price spreads of trading pairs are mean-reverting, this strategy exploits the disequilibrium in financial
Po-Chang Ko, Ping-Chen Lin, Hoang-Thu Do, Yuan-Heng Kuo, You-Fu Huang, Wen-Hsien Chen   +5 more
doaj   +1 more source

When the Tail Wags the Dog: A Time‐Varying FCVAR Analysis of Bitcoin Market

Journal of Futures Markets, EarlyView.
ABSTRACT This paper examines how the relationship between Bitcoin spot and futures markets has evolved using a time‐varying Fractionally Cointegrated Vector Autoregressive (FCVAR) model. We are the first to apply this methodology dynamically to cryptocurrency markets, allowing us to simultaneously analyze long‐run equilibrium, pricing patterns, market ...
Filippo di Pietro, Antonio A. Golpe, Jose Carlos Vides   +2 more
wiley   +1 more source

Energy Arbitrage Analysis for Market-Selection of a Battery Energy Storage System-Based Venture

Energies
The increasing integration of intermittent renewable energy sources necessitates effective energy storage solutions, with battery energy storage systems (BESSs) emerging as promising candidates for energy arbitrage operations.
Inam Ullah Khan, Mohsin Jamil
doaj   +1 more source

The Case of Fleeting Orders and Flickering Quotes

Journal of Futures Markets, EarlyView.
ABSTRACT The literature controversially discusses the ambiguous motives and driving forces behind quickly cancelled limit orders (fleeting orders), which are characteristic of high‐frequency markets. In particular, manipulative and dysfunctional characteristics are feared. We analyze top‐of‐book fleeting orders—so‐called flickering quotes—and show with
Markus Ulze, Johannes Stadler, Andreas W. Rathgeber   +2 more
wiley   +1 more source

ESG Performance and Credit Risk: Evidence From Chinese Manufacturing Companies

International Journal of Finance &Economics, EarlyView.
ABSTRACT This study investigates the effect of corporate environmental, social, and governance (ESG) performance on credit risk using a sample of manufacturing firms listed on China's Shanghai and Shenzhen A‐share markets from 2009 to 2021. Employing fixed effects, the generalised method of moments, and instrumental variable models, we find that ...
Yanan Wang, Xiao Zhang, Michal Wojewodzki, Yuxin Jian, Fadey AbiDaoud   +4 more
wiley   +1 more source

Asymmetric Information and Quantization in Financial Economics

International Journal of Mathematics and Mathematical Sciences, 2012
We show how a quantum formulation of financial economics can be derived from asymmetries with respect to Fisher information. Our approach leverages statistical derivations of quantum mechanics which provide a natural basis for interpreting quantum ...
Raymond J. Hawkins, B. Roy Frieden
doaj   +1 more source

Do Internet‐Driven Trade Shocks Moderate the Exchange Rate Pass‐Through to Inflation?

International Journal of Finance &Economics, EarlyView.
ABSTRACT This study examines the existence of an internet globalisation intensifying impact on the size of the exchange rate pass‐through (ERPT) to inflation, which conditions the response of central banks' policy rates. Expanding on the traditional determinants of ERPT, we incorporate technology‐induced trade shocks linked to internet adoption to ...
Joanna Darwiche, Nicole Ballouz Baker
wiley   +1 more source