Search Results - subject:"Arbitrage"

Kovbasyuk, Sergey; Pagano, Marco - 2020

Arbitrageurs with a short investment horizon gain from accelerating price discovery by advertising their private information. However, advertising many assets may overload investors' attention, reducing the number of informed traders per asset and slowing price discovery. So arbitrageurs...

Persistent link: https://www.econbiz.de/10012251032

A test of the Modigliani-Miller theorem, dividend policy and algorithmic arbitrage in experimental asset markets

Neugebauer, Tibor; Shachat, Jason M.; Szymczak, Wiebke - 2020

Persistent link: https://www.econbiz.de/10012209335

Deep arbitrage-free learning in a generalized HJM framework via arbitrage-regularization

Kratsios, Anastasis; Hyndman, Cody - In: Risks : open access journal 8 (2020) 2/40, pp. 1-30

closest arbitrage-free model to a prespecified factor model. This optimization problem is represented as the limit of a one … specialized to affine term-structure models where new types of arbitrage-free machine learning models for the forward-rate curve …

Persistent link: https://www.econbiz.de/10012204431

Regulatory arbitrage and cross-border syndicated loans

Demirgüç-Kunt, Asli; Horváth, Bálint; Huizinga, Harry - 2019

Persistent link: https://www.econbiz.de/10012106462

Coherent-price systems and uncertainty-neutral valuation

Beißner, Patrick - In: Risks : open access journal 7 (2019) 3/98, pp. 1-18

This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates … extension of the paper by Ross (1976) (Ross, Stephen A. 1976. The arbitrage theory of capital asset pricing. Journal of Economic … and arbitrage in multiperiod securities markets. Journal of Economic Theory 20: 381–408), the paper establishes a micro …

Persistent link: https://www.econbiz.de/10012126423

Term structure modeling under volatility uncertainty : a forward rate model driven by G-Brownian Motion

Hölzermann, Julian; Lin, Qian - 2019

absence of arbitrage, known as the drift condition. In contrast to the traditional model, the drift condition consists of two …

Persistent link: https://www.econbiz.de/10012009895

International volatility arbitrage

Tosi, Adriano - In: Essays in systematic asset pricing, (pp. 19-89). 2019

Persistent link: https://www.econbiz.de/10012103506

The role of factor strength and pricing errors for estimation and inference in asset pricing models

Pesaran, M. Hashem; Smith, Ron - 2019

In this paper we are concerned with the role of factor strength and pricing errors in asset pricing models, and their implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and the presence of weak factors that are...

Persistent link: https://www.econbiz.de/10012118575

Prediction model of box office based on arbitrage pricing theory : an empirical analysis from China

Qingshi, Wang; Naiqian, Li; Ali, Hashmat - In: International journal of economics and financial issues … 9 (2019) 5, pp. 16-23

Persistent link: https://www.econbiz.de/10012150512

The laws of motion of the broker call rate in the United States

Garivaltis, Alex - In: International Journal of Financial Studies : open … 7 (2019) 4/56, pp. 1-23

) arbitrage theory of corporate liability pricing to study theoretical constraints on the risk premia that could be generated in … the market for call money. Apparently, if there is no arbitrage in the U.S. financial markets, the implication is that the …

Persistent link: https://www.econbiz.de/10012150532