. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known … as convexity arbitrage) in financial praxis. This arbitrage is sparsely described in literature and an assessment about … its practical success is missing. Research methodology - Methodology steps: mathematical definition of given arbitrage …

In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …

We consider superhedging and no-arbitrage pricing in markets with a convex and cash-additive structure and derive an … payoffs, is necessary and sufficient to prevent arbitrage opportunities. Furthermore, we explore entropy pricing as a notable …

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … arbitrage and liquidity influence each other in the world’s largest platinum futures markets on exchanges in New York and Tokyo …

, contemporary stock market designs are prone to latency arbitrage. In turn, we propose a new order type, which allows traders to …-frequency traders, even if they operate at the speed of light, can no-longer engage in latency arbitrage. …

In this paper, we introduce the concept of statistical arbitrage through the definition of a mean-reverting trading … strategy that captures persistent anomalies in long-run relationships among assets. We model the statistical arbitrage … proceeding in three steps: (1) to identify mispricings in the chosen market, (2) to test mean-reverting statistical arbitrage …

research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in … financial practice. It should provide a positive expected excess return and a small or zero potential loss. Convexity arbitrage … has been described in academic literature before, but an assessment of its practical success is lacking. Arbitrage …

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 aggregate of 41 indicators of stock market index returns, benchmark …

pricing model (CAPM) and Fama and French three-factor model in explaining returns. International factors augment the role of …