Search Results - subject_exact:"Arbitrage pricing"

Characterizing arbitrage-free Choquet pricing rules

Cornet, Bernard - 2025

Persistent link: https://www.econbiz.de/10015443162

Arbitrage networks

Rahi, Rohit; Zigrand, Jean-Pierre - 2025

Persistent link: https://www.econbiz.de/10015409210

Assessing the extent of exchange rate risk pricing in equity markets : emerging versus developed economies

Bonga-Bonga, Lumengo; Mpoha, Salifya - In: African journal of economic and management studies 16 (2025) 1, pp. 148-159

Persistent link: https://www.econbiz.de/10015414818

Bitcoin arbitrage and exchange default risk

Guo, Weiwei; Intini, Silvia; Jahanshahloo, Hossein - In: Finance research letters 71 (2025), pp. 1-7

Persistent link: https://www.econbiz.de/10015196494

Wish or reality? : on the exploitability of triangular arbitrage in cryptocurrency markets

Muck, Matthias; Schmidl, Thomas; Wolf, Julian - In: Finance research letters 73 (2025), pp. 1-9

Persistent link: https://www.econbiz.de/10015210351

Quantitative fundamental theorem of asset pricing

Acciaio, Beatrice; Backhoff-Veraguas, Julio; Pammer, Gudmund - In: Mathematical finance : an international journal of … 35 (2025) 3, pp. 636-660

Persistent link: https://www.econbiz.de/10015460602

The impact of the last two presidential periods on the performance of the Indonesia stock exchanges : an approach of arbitrage pricing theory

Garnia, Erna; Riadi, Deden Rizal; Tahmat, T; … - In: Contemporary economics 18 (2024) 3, pp. 301-320

This study aims to examine the influence of economic and non-economic macro factors on the performance of the Indonesia Stock Exchange (IDX) and the differences in their effects on the last two presidential terms using the Arbitrage Pricing Theory (APT) approach. The macro factors studied are an...

Persistent link: https://www.econbiz.de/10015189610

Microstructure implications of ETF arbitrage with custom baskets

Körükmez, Berke - 2024

Exchange-traded funds (ETFs) are typically considered to be passive investment vehicles designed to track a benchmark index. However, with the promulgation of the Securities and Exchange Commission's 2019 ETF Rule, funds are permitted the use of custom creation/redemption baskets. This change...

Persistent link: https://www.econbiz.de/10015168534

Arbitrage problems with reflected geometric Brownian motion

Buckner, Dean; Dowd, Kevin; Hulley, Hardy - In: Finance and stochastics 28 (2024) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014447570

Cross-section without factors : a string model for expected returns

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - In: Quantitative finance 24 (2024) 6, pp. 693-718

Persistent link: https://www.econbiz.de/10015050788