Results 61 to 70 of about 1,288 (228)

Statistical Arbitrage for Multiple Co-integrated Stocks. [PDF]

Appl Math Optim, 2022
Li TN, Papanicolaou A.
europepmc   +1 more source

Cointegration-Based Pairs Trading Strategy in Commodity Markets: A Novel Approach to Statistical Arbitrage

, 2023
Gautham Mohandas
openalex   +1 more source

Generalized statistical arbitrage concepts and related gain strategies [PDF]

, 2021
Christian Rein, Ludger Rüschendorf, Thorsten Schmidt   +2 more
openalex   +1 more source

Harvesting benefits: Exploring the effects of second‐best policies on enhancing soil organic carbon stocks in agriculture

American Journal of Agricultural Economics, EarlyView.
Abstract Agricultural subsidies can be an effective policy tool to enhance soil organic carbon sequestration. This paper assesses the effectiveness of a second‐best hypothetical policy which subsidizes additional canola hectares optimally for each soil zone in Saskatchewan in an effort to increase soil organic carbon.
Devin A. Serfas
wiley   +1 more source

Optimal Investment Consumption Choices under Mispricing and Habit Formation

Mathematics
This paper studies the optimal consumption and investment for an agent, considering statistical arbitrary opportunities caused by mispriced stocks. The agent exhibits consumption habit formation and has access to a risk-free asset, a market index, and a ...
Ailing Shi, Jingyun Sun, Botao Liu
doaj   +1 more source

A Study on Statistical Arbitrage Transactions of Cryptocurrency Using Kimchi Premium and Exchange Rate Fluctuations Prediction

, 2023
GiJeong Cho, Jonghyun Park, Hyunchul Ahn
openalex   +1 more source

Do tax havens affect the usage of share buybacks schemes?

Annals of Public and Cooperative Economics, EarlyView.
Abstract This study examines whether the use of tax haven subsidiaries by U.S. multinational corporations (MNCs) is associated with more intense usage of share buybacks. I find that MNCs' more intensive tax haven subsidiary usage is positively associated with a higher buyback ratio, a higher level of free cash flow and a higher level of return on ...
Alessandro Chiari
wiley   +1 more source

Correction: Fanelli (2024). Mean-Reverting Statistical Arbitrage Strategies in Crude Oil Markets. Risks 12: 106

Risks
There was an error in the original publication (Fanelli 2024) [...]
Viviana Fanelli
doaj   +1 more source

How to Test the Arbitrage Pricing Theory (APT) [PDF]

Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2007
As a response to critiques about the capital asset pricing model (CAPM), Ross (1976) proposed Arbitrage Pricing Theory (APT) as an alternative model with fewer assumptions, and use of multi risk factors affecting assets prices instead of one.
Ghassem Mohsseni Demneh
doaj  

Statistical and computational techniques for extraction of underlying systematic risk factors: a comparative in the Mexican stock exchange

Revista Finanzas y Política Económica, 2021
This paper compares the dimension reduction or feature extraction techniques, e.g., Principal Component Analysis, Factor Analysis, Independent Component Analysis and Neural Networks Principal Component Analysis, which are used as techniques for ...
Rogelio, Salvador Torra Porras, Enric Monte Moreno   +2 more
doaj