In general multi-asset models of financial markets, the classic no-arbitrage concepts NFLVR and NUPBR have the serious … introduce a new way of defining “absence of arbitrage”. It rests on the new notion of a strategy being strongly share maximal … absence-of-arbitrage concepts do not change when we look at discounted or undiscounted prices, and they can be used in open …

uncertainty and portfolio constrains in discrete time. We first show that no arbitrage holds if and only if there exists some …

In this study, we employ a statistical arbitrage approach to demonstrate that momentum investment strategy tend to work … parametric tests, the statistical arbitrage method produces more clearly that momentum strategies work only in longer formation …

arbitrage. The main idea in statistical arbitrage is to exploit short-term deviations in returns from a long-term equilibrium …

We propose a new methodology for forming arbitrage portfolios that utilizes the information contained in firm …. Empirically, we find the arbitrage portfolio has (statistically and economically) significant alphas relative to several popular …

given via bid-ask spreads, while the existence of a numeraire is not assumed. It is shown that robust no arbitrage holds if …