Results 61 to 70 of about 52,168 (223)
Market Integration and Nonlinear Price Transmission in 19th‐Century British Wheat Markets
Journal of Agricultural Economics, EarlyView.ABSTRACT Important developments in infrastructure and institutions characterized 19th‐Century wheat markets in Great Britain. Among these developments was the construction of the national rail system which enabled cheaper and more efficient transport of grain and other bulky cargoes between inland towns and ports.
Barry K. Goodwin, A. Ford Ramsey
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On the Hansen-Jagannathan distance with a no-arbitrage constraint [PDF]
We provide an in-depth analysis of the theoretical and statistical properties of the Hansen-Jagannathan (HJ) distance that incorporates a no-arbitrage constraint.
Cesare Robotti +2 more
core
How Tether Depegging Affects Cryptocurrency Returns
Accounting &Finance, EarlyView.ABSTRACT This paper examines the relationship between Tether depegging events and the returns of ten major cryptocurrencies from November 2017 to November 2024. We distinguish between upward and downward deviations from the Tether peg, identifying these events as threshold exceedances based on historical prices, using both constant parameter and ...
Sean Foley +2 more
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Optimal statistical arbitrage trading of Berkshire Hathaway stock and its replicating portfolio. [PDF]
PLoS One, 2021 Chen AS, Yang CM.
europepmc +1 more source
Monetary Policy, Investor Sentiment and Stock Price Bubble: Evidence From China
Accounting &Finance, EarlyView.ABSTRACT The empirical results indicate that an increase in interest rates may stimulate a significant and persistent stock price bubble, which is consistent with rational asset price bubble theory. This finding suggests that central banks should implement anti‐turbulent monetary policy with caution, since inappropriate tightening may unintentionally ...
Jiahao Gong +3 more
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Asia‐Pacific Economic History Review, Volume 65, Issue 1, Page 131-159, March 2025.Abstract This study examines the adaptive market hypothesis in the prewar and wartime Japanese stock market using a new market capitalization‐weighted price index. First, we find that the degree of market efficiency varies over time and with major historical events. This implies that the hypothesis is supported in this market.
Kenichi Hirayama, Akihiko Noda
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Eroding market stability by proliferation of financial instruments
, 2008 We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting.
A. Martino De +16 more
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Statistical Arbitrage: An Approach from Econophysics
The statistical arbitrage strategy emerged in the mid-80s, developed by a group of scientists associated with Morgan Stanley's investment bank. This approach entails the choice of a pair of financial assets that have traditionally shown parallel movements. A profit can be achieved by establishing a long-short position on this pair when they move apart,
José Pedro Ramos-Requena +2 more
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Expectations for Statistical Arbitrage in Energy Futures Markets [PDF]
Journal of Risk and Financial Management, 2019 Energy futures have become important as alternative investment assets to minimize the volatility of portfolio return, owing to their low links with traditional financial markets. In order to make energy futures markets grow further, it is necessary to expand expectations of returns from trading in energy futures markets.
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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
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