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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

Squeezing shorts through social news platforms

Allen, Franklin; Nowak, Eric; Pirovano, Matteo; … - 2021 - This draft: April 12, 2021

At the end of January 2021, a group of stocks listed on US stock exchanges experienced sudden surges in their stock prices, which - coupled with high short interest – led to brief short squeeze episodes. We argue that these short squeezes were the result of coordinated trading by retail...

Persistent link: https://www.econbiz.de/10012502167

Implicit Entropic Market Risk-Premium from Interest Rate Derivatives

Arismendi Zambrano, Juan Carlos - 2020

risks previous to the 2007/2008 financial crisis, and the potential arbitrage burden during the Quantitative Easing period …

Persistent link: https://www.econbiz.de/10012828071

Causality between arbitrage and liquidity in platinum futures

Iwatsubo, Kentarō; Watkins, Clinton - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-17

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 …

Persistent link: https://www.econbiz.de/10014284282

The pricing of derivatives on assets with quadratic volatility

Zühlsdorff, Christian - 2002

The basic model of financial economics is the Samuelson model of geometric Brownian motion because of the celebrated Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the model garantees positive asset prices. In this paper it...

Persistent link: https://www.econbiz.de/10011539634

Mispricing Persistence and the Effectiveness of Arbitrage Trading

Alphonse, Pascal - 2016

This article examines whether mean reversion in stock index basis changes is actually induced by arbitrage trading …, using intra-day arbitrage trade data. The empirical evidence suggests that arbitrage trading alone cannot account for all of … highly competitive. We find that on average the net arbitrage profit is at the competitive level of zero. Furthermore, it is …

Persistent link: https://www.econbiz.de/10013004427