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Arbitrage bots in experimental asset markets

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Investing in the asset growth anomaly across the globe

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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

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Statistical arbitrage with vine copulas

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

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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

Asset pricing with arbitrage activity

Hugonnier, Julien; Prieto, Rodolfo - In: Journal of financial economics 115 (2015) 2, pp. 411-428

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The term structure of sharpe ratios and arbitrage-free asset pricing in continuous time

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arbitrage-free and incomplete market setting when different pricing measures are possible. Involved pricing measures now depend …

Persistent link: https://www.econbiz.de/10011899208

Arbitrage pricing theory in ergodic markets

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Asset pricing in an imperfect world

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Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns

Cao, Jie Jay; Han, Bing - In: Journal of banking & finance 73 (2016), pp. 1-15

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