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A partially linear approach to modelling the dynamics of spot and futures prices

Gaul, Jürgen; Theissen, Erik - 2012 - This version: August 2012

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error …

Persistent link: https://www.econbiz.de/10009750074

High-Frequency Arbitrage and Market Illiquidity

Moise, Claudia E. - 2021

During times of market stress, arbitrage capital cannot be timely deployed, and assets trade away from fundamentals …

Persistent link: https://www.econbiz.de/10013249955

International Volatility Arbitrage

Tosi, Adriano - 2018

exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These …

Persistent link: https://www.econbiz.de/10012915950

Index Arbitrage and Futures Pricing Efficiency : Evidence from Thailand

Tungsong, Sachapon - 2011

, frequencies of mispricing and arbitrage as well as arbitrage profitability are measured. In particular, the following three … arbitrage trades are analyzed: (1) SET50 futures vs. TDEX, (2) SET50 futures vs. SET50 component stocks, and (3) TDEX vs. SET50 …

Persistent link: https://www.econbiz.de/10013121226

Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis

Hernández, Juan R. - 2014

Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...

Persistent link: https://www.econbiz.de/10010370903

Option strategies : good deals and margin calls

Santa-Clara, Pedro; Saretto, Alessio - In: Journal of financial markets 12 (2009) 3, pp. 391-417

Persistent link: https://www.econbiz.de/10003873553

Aggregate implied volatility spread and stock market returns

Han, Bing; Li, Gang - 2017 - Current Version: September 2017

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied volatilities of at-the-money call and put equity options, is significantly and positively related to future stock market returns at daily, weekly, monthly, to semiannual horizons. This...

Persistent link: https://www.econbiz.de/10011897782

Market efficiency and limits to arbitrage : evidence from the Volkswagen short squeeze

Allen, Franklin; Haas, Marlene; Nowak, Eric; Tengulov, Angel - 2018

On October 26, 2008, Porsche announced a largely unexpected domination plan for Volkswagen. The resulting short squeeze in Volkswagen's stock briefly made it the most valuable listed company in the world. We argue that this was a manipulation designed to save Porsche from insolvency and the...

Persistent link: https://www.econbiz.de/10011875647

Derivatives Valuation Based on Arbitrage : The Trade Is Crucial

Figlewski, Stephen - 2016

Derivatives valuation has strong theoretical support because models are derived from the principle that arbitrage … between the derivative and its underlying will eliminate riskless profits and drive the market price to the model value. "No-arbitrage …, not by theories. In this talk, I discuss how different the arbitrage trade is for different markets and different models …

Persistent link: https://www.econbiz.de/10012984824

The CDS-Bond Basis : Negativity Persistence and Limits to Arbitrage

Guesmi, Sahar - 2019

cross-sectional variation of the CDS-bond basis in each regime. Using a model with several limit-to-arbitrage factors, we … negativity persistence during the post-crisis period is mainly related to a significant decrease in basis arbitrage activity …

Persistent link: https://www.econbiz.de/10012859945