Similar Search Results

Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes

Akyildirim, Erdinc - 2019

We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump …-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the risky asset holding must go to … zero in time. Existence of statistical arbitrage is demonstrated via 'buy-and-hold until barrier' strategy, where the …

Persistent link: https://www.econbiz.de/10012865818

Pricing derivatives in hermite markets

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Mittnik, Stefan - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-27

Persistent link: https://www.econbiz.de/10012153100

A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance

Focardi, Sergio M.; Fabozzi, Frank J.; Mitov, Ivan K. - In: Journal of banking & finance 65 (2016), pp. 134-155

Persistent link: https://www.econbiz.de/10011634338

Household Search Choice : Theory and Evidence

Bonaparte, Yosef - 2011

Since the work by Stigler on the economics of information in the early 1960s, economists have paid closer attention to the role of search for information. However, search methods are not considered in the theory of portfolio choice. We present a model of investor search behavior in order to...

Persistent link: https://www.econbiz.de/10012757084

A New Set of Financial Instruments

Shirvani, Abootaleb - 2019

In complete markets, there are risky assets and a riskless asset. It is assumed that the riskless asset and the risky asset are traded continuously in time and that the market is frictionless. In this paper, we propose a new method for hedging derivatives assuming that a hedger should not always...

Persistent link: https://www.econbiz.de/10012859405