Similar Search Results

Arbitrage, factor structure, and mean-variance analysis on large asset markets

Chamberlain, Gary; Rothschild, Michael - 1982

Persistent link: https://www.econbiz.de/10009571475

Arbitrage and leverage strategies in bubbles under synchronization risks and noise-trader risks

Tan, Senren; Jin, Zhuo; Wu, Fuke - In: Economic modelling 49 (2015), pp. 331-343

Persistent link: https://www.econbiz.de/10011439593

No arbitrage in continuous financial markets

Criens, David - In: Mathematics and financial economics 14 (2020) 3, pp. 461-506

Persistent link: https://www.econbiz.de/10012240304

The economics of financial markets

Bailey, Roy E. - 2005

asset pricing model (CAPM). Arbitrage plays a pivotal role in finance and is studied in a variety of contexts, including the … APT model of asset prices. Methods for the empirical evaluation of CAPM and APT are also discussed, together with the … volatility of asset prices, the intertemporal CAPM and the equity premium puzzle. An analysis of bond contracts leads into an …

Persistent link: https://www.econbiz.de/10011479686

Arbitrage concepts under trading restrictions in discrete-time financial markets

Fontana, Claudio; Runggaldier, Wolfgang J. - In: Journal of mathematical economics 92 (2021), pp. 66-80

Persistent link: https://www.econbiz.de/10012654141

Arbitrage bots in experimental asset markets

Angerer, Martin; Neugebauer, Tibor; Shachat, Jason M. - In: Journal of economic behavior & organization : JEBO 206 (2023), pp. 262-278

Persistent link: https://www.econbiz.de/10014247343

Existence of equilibrium on asset markets with a countably infinite number of states

Ha-Huy, Thai; Cuong Le Van - In: Journal of mathematical economics 73 (2017), pp. 44-53

Persistent link: https://www.econbiz.de/10011842000

Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500

Stübinger, Johannes - In: Quantitative finance 19 (2019) 6, pp. 921-935

Persistent link: https://www.econbiz.de/10012194730

Statistical arbitrage with vine copulas

Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher - In: Quantitative finance 18 (2018) 11, pp. 1831-1849

Persistent link: https://www.econbiz.de/10012262849

Asset pricing with arbitrage activity

Hugonnier, Julien; Prieto, Rodolfo - 2013

arbitrage opportunities that emerge endogenously in reaction to the portfolio imbalance generated by constrained agents. The … agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …

Persistent link: https://www.econbiz.de/10010257492