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Year of publication
Subject
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Arbitrage Pricing 1,521 Arbitrage pricing 1,519 Theorie 973 Theory 971 Arbitrage 626 CAPM 388 Portfolio-Management 262 Portfolio selection 260 Optionspreistheorie 210 Option pricing theory 203 Yield curve 180 Zinsstruktur 180 Börsenkurs 165 Share price 165 Capital income 132 Kapitaleinkommen 132 Derivat 123 Derivative 123 Estimation 123 Schätzung 122 Financial market 103 Finanzmarkt 103 Stochastic process 100 Stochastischer Prozess 100 Risiko 95 Risk 95 Volatility 93 Volatilität 93 Risikoprämie 82 Risk premium 82 Kapitalmarkttheorie 74 Martingal 69 Martingale 69 Transaction costs 69 Transaktionskosten 69 Financial economics 68 Hedging 66 USA 62 Unvollkommener Markt 62 Incomplete market 61
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Online availability
All
Free 567 Undetermined 265 CC license 12
Type of publication
All
Book / Working Paper 841 Article 756
Type of publication (narrower categories)
All
Article in journal 656 Aufsatz in Zeitschrift 656 Graue Literatur 304 Non-commercial literature 304 Working Paper 295 Arbeitspapier 291 Hochschulschrift 66 Thesis 59 Aufsatz im Buch 58 Book section 58 Lehrbuch 16 Textbook 15 Collection of articles written by one author 11 Sammlung 11 Bibliografie enthalten 9 Bibliography included 9 Glossar enthalten 6 Glossary included 6 Collection of articles of several authors 4 Sammelwerk 4 Article 3 Forschungsbericht 3 Conference paper 2 Einführung 2 Konferenzbeitrag 2 Konferenzschrift 2 Mikroform 2 Systematic review 2 research-article 2 Übersichtsarbeit 2 Aufsatzsammlung 1 Bibliografie 1 CD-ROM, DVD 1 Case study 1 Conference proceedings 1 Fallstudie 1 Festschrift 1 Rezension 1
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Language
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English 1,471 German 72 Undetermined 34 Spanish 13 French 4 Italian 2 Polish 1
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Author
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Platen, Eckhard 18 Vayanos, Dimitri 17 Rudebusch, Glenn D. 16 Cuong Le Van 14 Diebold, Francis X. 14 Christensen, Jens H. E. 12 Lepinette, Emmanuel 10 Acharya, Viral V. 9 Connor, Gregory 9 Gromb, Denis 9 Kabanov, Jurij M. 9 Pesaran, M. Hashem 9 Rásonyi, Miklós 9 Wilhelm, Jochen 9 Björk, Tomas 8 Khan, M. Ali 8 Kondor, Péter 8 Linton, Oliver 8 Sun, Yeneng 8 Dionne, Georges 7 Fletcher, Jonathan 7 Fontana, Claudio 7 Herings, Peter Jean-Jacques 7 Hoesli, Martin 7 Jarrow, Robert A. 7 Lochstoer, Lars A. 7 Nietert, Bernhard 7 Pagano, Marco 7 Page, Frank H. 7 Poutré, Cédric 7 Ramadorai, Tarun 7 Ross, Stephen A. 7 Schachermayer, Walter 7 Stübinger, Johannes 7 Cassese, Gianluca 6 Cauchie, Séverine 6 Chamberlain, Gary 6 Guasoni, Paolo 6 Jouini, Elyès 6 Pelsser, Antoon André Jean 6
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Institution
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National Bureau of Economic Research 22 International Monetary Fund (IMF) 4 Weierstraß-Institut für Angewandte Analysis und Stochastik 4 Institut für Schweizerisches Bankwesen <Zürich> 3 London School of Economics (LSE) 3 Bonn Graduate School of Economics 2 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 2 Deutsche Forschungsgemeinschaft 2 EconWPA 2 Economic Research Southern Africa (ERSA) 2 Ekonomiska forskningsinstitutet <Stockholm> 2 Faculty of Economics, University of Cambridge 2 HAL 2 Johns Hopkins University / Department of Economics 2 National Centre of Competence in Research North South <Bern> 2 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 2 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 2 University of Cambridge / Department of Applied Economics 2 Universität Passau / Wirtschaftswissenschaftliche Fakultät 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Associazione Amici della Scuola Normale Superiore di Pisa 1 Banca d'Italia 1 Books on Demand GmbH <Norderstedt> 1 Brown University / Department of Economics 1 Centre for Economic Policy Research 1 Centre for International Economic Studies 1 Deutschland / Bundeswehr / Universität Hamburg 1 Escola de Pós-Graduação em Economia <Rio de Janeiro> 1 Federal Reserve System / Board of Governors 1 Finance Discipline Group, Business School 1 Frankfurt School of Finance & Management 1 Institute of Chartered Financial Analysts / Research Foundation 1 International Association of Lawyers 1 International Center for Financial Asset Management and Engineering 1 Københavns Universitet / Økonomisk Institut 1 London School of Economics and Political Science 1 Manchester Business School 1 McMaster University / Department of Economics 1 Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn 1
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Published in...
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Finance and stochastics 44 International journal of theoretical and applied finance 27 Journal of financial economics 25 Journal of mathematical economics 23 NBER working paper series 22 Journal of banking & finance 21 Mathematics and financial economics 16 Annals of finance 15 Mathematical finance : an international journal of mathematics, statistics and financial theory 14 Research paper series / Swiss Finance Institute 14 NBER Working Paper 13 Working paper / National Bureau of Economic Research, Inc. 13 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 12 Finance research letters 11 Discussion paper / Centre for Economic Policy Research 10 Economic theory : official journal of the Society for the Advancement of Economic Theory 10 Economics letters 10 Applied mathematical finance 9 Journal of economic dynamics & control 8 Quantitative finance 8 Swiss Finance Institute Research Paper 8 CESifo working papers 7 Gabler Edition Wissenschaft 7 Journal of economic theory 7 Journal of empirical finance 7 Risks : open access journal 7 The journal of computational finance 7 Applied economics 6 Applied financial economics 6 Discussion papers / CEPR 6 European journal of operational research : EJOR 6 International review of economics & finance : IREF 6 Journal of financial and quantitative analysis : JFQA 6 Working Paper 6 Asia-Pacific financial markets 5 CESifo Working Paper 5 Discussion paper series / LSE Financial Markets Group 5 IMF Working Papers 5 Journal of econometrics 5 Journal of mathematical finance 5
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Source
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ECONIS (ZBW) 1,524 RePEc 44 USB Cologne (business full texts) 19 EconStor 7 Other ZBW resources 2 BASE 1
Showing 1 - 50 of 1,597
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The impact of the last two presidential periods on the performance of the Indonesia stock exchanges : an approach of arbitrage pricing theory
Garnia, Erna; Riadi, Deden Rizal; T Tahmat; Nainggolan, … - In: Contemporary economics 18 (2024) 3, pp. 301-320
This study aims to examine the influence of economic and non-economic macro factors on the performance of the Indonesia Stock Exchange (IDX) and the differences in their effects on the last two presidential terms using the Arbitrage Pricing Theory (APT) approach. The macro factors studied are an...
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Arbitrage pricing theory for idiosyncratic variance factors
Renaut, Eric; Heijden, Thijs van der; Werker, Bas J. M. - In: Journal of financial econometrics 21 (2023) 5, pp. 1403-1442
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Bitcoin arbitrage and exchange default risk
Guo, Weiwei; Jahanshahloo, Hossein - In: Finance research letters 71 (2025), pp. 1-7
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Wish or reality? : on the exploitability of triangular arbitrage in cryptocurrency markets
Muck, Matthias; Schmidl, Thomas; Wolf, Julian - In: Finance research letters 73 (2025), pp. 1-9
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The impact of the last two presidential periods on the performance of the Indonesia stock exchanges: An approach of arbitrage pricing theory
Garnia, Erna; Riadi, Deden Rizal; Nainggolan, Ida Margareta - In: Contemporary Economics 18 (2024) 3, pp. 301-320
This study aims to examine the influence of economic and non-economic macro factors on the performance of the Indonesia Stock Exchange (IDX) and the differences in their effects on the last two presidential terms using the Arbitrage Pricing Theory (APT) approach. The macro factors studied are an...
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Microstructure implications of ETF arbitrage with custom baskets
Körükmez, Berke - 2024
Exchange-traded funds (ETFs) are typically considered to be passive investment vehicles designed to track a benchmark index. However, with the promulgation of the Securities and Exchange Commission's 2019 ETF Rule, funds are permitted the use of custom creation/redemption baskets. This change...
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Money-metric valuation of assets
Shah, Sudhir A. - 2024
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Arbitrage problems with reflected geometric Brownian motion
Buckner, Dean; Dowd, Kevin; Hulley, Hardy - In: Finance and stochastics 28 (2024) 1, pp. 1-26
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Cross-section without factors : a string model for expected returns
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - In: Quantitative finance 24 (2024) 6, pp. 693-718
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Convertible debt arbitrage crashes revisited
Lewis, Craig M.; Munyan, Ben; Verwijmeren, Patrick - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 4, pp. 1926-1962
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Mean-reverting statistical arbitrage strategies in crude oil markets
Fanelli, Viviana - In: Risks : open access journal 12 (2024) 7, pp. 1-19
In this paper, we introduce the concept of statistical arbitrage through the definition of a mean-reverting trading strategy that captures persistent anomalies in long-run relationships among assets. We model the statistical arbitrage proceeding in three steps: (1) to identify mispricings in the...
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Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space
Zastawniak, Tomasz - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 137-149
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Put-Call parities, absence of arbitrage opportunities, and nonlinear pricing rules
Bastianello, Lorenzo; Chateauneuf, Alain; Cornet, Bernard - In: Mathematical finance : an international journal of … 34 (2024) 4, pp. 1242-1262
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Arbitrage pricing in convex, cash-additive markets
Lécuyer, Emy; Riedel, Frank; Stanca, Lorenzo - 2024
We consider superhedging and no-arbitrage pricing in markets with a convex and cash-additive structure and derive an explicit functional form for the super-replication price. Using convex duality methods, we show that the superhedging price maximizes the difference between the expected payoff...
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Arbitrage and non-linear taxes
Becker, Marcus; Löffler, Andreas - 2024
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Smart stochastic discount factors
Korsaye, Sofonias Alemu; Quaini, Alberto; Trojani, Fabio - 2021 - This version: June 30, 2021
We propose a novel no-arbitrage framework, which exploits convex asset pricing constraints to study investors’ marginal utility of wealth or, more generally, Stochastic Discount Factors (SDFs). We establish a duality between minimum dispersion SDFs and penalized portfolio selection problems,...
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Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios
Pesaran, M. Hashem; Smith, Ron - 2021
The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors, which are typically assumed to be strong. In this paper we consider two aspects of the APT. Firstly we relate the factors in the statistical factor model to a theoretically...
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Flash Loan Arbitrage Bot
Kanojia, Rohan - 2023
The Flash Loan Arbitrage bot project entails creating a bot that can use flash loans to perform lucrative arbitrage trades across many decentralised exchanges. To ease arbitrage transactions, the project uses Solidity code to develop a smart contract that interacts with several ERC20 tokens and...
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Time-Varying Arbitrage Capital
Rouxelin, Florent - 2023
I explore the premise that the abundance of arbitrage capital varies over time and that future asset prices, proxied by a set of cross-sectional stock anomalies, depend on arbitrage capital availability. When arbitrage capital is abundant, investors are able to deploy capital flow successfully,...
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Do CAPM vs APT better in Predicting Stock Return in Pakistan
Manzar, Syed Hisham; Siddiqui, Danish Ahmed - 2023
Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory are two basic models for understanding the relationship between stock return and risk in assessing shares traded in the capital market. This study aims to understand whether CAPM or APT is better and more accurate in predicting the...
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An Introduction to Arbitrage Trading Strategies
Burgess, Nicholas - 2023
Arbitrage trading strategies are a class of trading strategies that involve buying and selling financial instruments to take advantage of price discrepancies. The goal of arbitrage trading is to make a profit from the differences in prices between securities or markets, without taking on...
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The No-arbitrage Pricing of Non-traded Assets
Jarrow, Robert A. - 2023
This paper shows how to uniquely price non-traded assets using no-arbitrage in an otherwise friction-less market setting. The approach requires the assumption that the hedging error, properly defined, is non-priced or idiosyncratic risk. This methodology can be applied to private loans, illiquid...
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Swaption Pricing under the Discrete-Time Arbitrage-Free Nelson-Siegel Model
Eghbalzadeh, Ramin; Godin, Frédéric; Gaillardetz, Patrice - 2023
The paper outlines Monte-Carlo simulation procedures for the pricing of swaptions under the discrete-time arbitrage-free Nelson-Siegel (DTAFNS) model of Eghbalzadeh et al. (2022). In particular, the forward measure dynamics of term structure factors are derived, leading to a semi-analytic...
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Execution and Statistical Arbitrage with Signals in Multiple Automated Market Makers
Cartea, Álvaro; Drissi, Fayçal; Monga, Marcello - 2023
Automated market makers (AMMs) are a new type of trading venue where the rules for liquidity provision and liquidity taking are considerably different from those of the traditional electronic trading venues. AMMs have become one of the key markets to trade crypto-currencies, whose liquidity is...
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Latency arbitrage and the synchronized placement of orders
Kuhle, Wolfgang - In: Financial innovation : FIN 9 (2023) 1, pp. 1-18
We argue that owing to traders' inability to fully express their preferences over the execution times of their orders, contemporary stock market designs are prone to latency arbitrage. In turn, we propose a new order type, which allows traders to specify the time at which their orders are...
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Arbitrage-free neural-SDE market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 30 (2023) 1, pp. 1-46
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Platforms as arbitrageurs and facilitators of arbitrage : a simple analysis
Waterson, Michael - 2023
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The puzzle of online arbitrage and increased product returns : a game-theoretic analysis
Geda, Avinash; Pu, Jingchuan; Qiu, Liangfei - In: Production and operations management : the flagship … 32 (2023) 8, pp. 2387-2399
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Fundamental theorem of asset pricing with acceptable risk in markets with frictions
Arduca, Maria; Munari, Cosimo-Andrea - In: Finance and stochastics 27 (2023) 3, pp. 831-862
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Limits of arbitrage and primary risk-taking in derivative securities
Tian, Meng; Wu, Liuren - In: Review of asset pricing studies : RAPS 13 (2023) 3, pp. 405-439
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Mispricing and Arbitrage Portfolios in China
Hong, Jiawei; Li, Junye; Wang, Chuyu; Wang, Mo - 2023
Equipped with a latent factor model that accommodates evident structural changes and time-varying dependence of mispricing on firm characteristics, we reveal economically substantial mispricing in the Chinese stock market. For the reasonable number of latent factors equal to 4, the arbitrage...
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Decomposing the Options Order Imbalance : Arbitrage and Informed Trades
Lee, Jaeram; Ryu, Doojin; Yang, Heejin; Yu, Jinyoung - 2023
This study suggests a novel approach for decomposing an options order imbalance based on trading motives using put-call parity. The options order imbalance is separated into two components: one that contains arbitrage trading and one that does not. Intuitively, the proportion of the former...
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Segmented Arbitrage
Siriwardane, Emil N.; Sunderam, Aditya; Wallen, Jonathan - 2023
We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the twenty-nine arbitrage spreads that we study is 22%. These low correlations are inconsistent with...
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Segmented arbitrage
Siriwardane, Emil N.; Sunderam, Adi; Wallen, Jonathan L. - 2023
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An Arbitrage Approach to Informed Order Flow
An, Yu; Zheng, Zeyu - 2023
We propose a new approach to modeling informed order flows. Our approach generalizes arbitrage pricing to incorporate both information and demand effects, giving rise to a new quadratic factor model of price impacts. Our approach offers two fresh insights into the economics of informed trading....
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Dividend-Tax Arbitrage and its Impact on the Stock Market
Liu, Wen-Rang; Chiang, Yao-Min; Chung, San-Lin - 2023
This study uncovers a unique dividend-tax arbitrage strategy that provides high-bracket investors the opportunity to circumvent taxation on dividend income. As the first comprehensive analysis, we examine diverse investor types, implementation techniques, and implications on stock prices....
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Convertible Bond Arbitrage : Risk and Return
Hutchinson, Mark C.; Gallagher, Liam - 2023
This paper specifies a simulated convertible bond arbitrage portfolio to characterise the risks in convertible bond arbitrage. For comparison the risk profile of convertible bond arbitrage hedge fund indices at both monthly and daily frequencies is also examined. Results indicate that...
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Exploiting arbitrage requires short selling
Platen, Eckhard; Tappe, Stefan - In: Frontiers of mathematical finance : FMF 2 (2023) 3, pp. 265-282
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What do we know about informational efficiency? : three puzzles and the new direction forward
Go, You-How; Wee, Yeap Lau - In: Journal of economic surveys 37 (2023) 4, pp. 1489-1525
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Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Linda - 2020
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Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2020
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Pricing of contingent claims in large markets
Mostovyi, Oleksii; Siorpaes, Pietro - In: Finance and stochastics 29 (2025) 1, pp. 177-217
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Prediction model of box office based on arbitrage pricing theory : an empirical analysis from China
Wang, Qingshi; Naiqian, Li; Ali, Hashmat - In: International journal of economics and financial issues … 9 (2019) 5, pp. 16-23
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The role of factor strength and pricing errors for estimation and inference in asset pricing models
Pesaran, M. Hashem; Smith, Ron - 2019
In this paper we are concerned with the role of factor strength and pricing errors in asset pricing models, and their implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and the presence of weak factors that are...
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A Note on Model Uncertainty for Statistical Arbitrage
Yoshikawa, Daisuke - 2022
In this paper, we consider an optimal stopping problem that addresses model uncertainty. Model uncertainty is the uncertainty affecting the model assumptions, e.g., the assumed form of the probability distribution, the parameters embedded in the probability distribution. The result presented in...
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The Great Carbon Arbitrage
Adrian, Tobias; Bolton, Patrick; Kleinnijenhuis, Alissa M. - 2022
We measure the gains from phasing out coal as the social cost of carbon times the quantity of avoided emissions. By comparing the present value of the benefits from avoided emissions against the present value of costs of ending coal plus the costs of replacing it with renewable energy, our...
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Method for choosing appropriate investment periods to make arbitrage profit and explain stock returns
Peymany, Moslem - In: Serbian journal of management : an international … 17 (2022) 2, pp. 271-287
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Arbitrage Bounds on Cross Currency Options
Della Corte, Pasquale; Kozhan, Roman; Neuberger, Anthony - 2022
The currency options markets, both the dollar denominated options markets and the cross-currency options markets, carry important economic information about the evolution of exchange rates and the pricing of risk. However, it is challenging to integrate all this information together. This paper...
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Arbitrage-Free interpolation if Implied Volatility Surface
Pelts, Gregory - 2022
We propose an efficient way to interpolate implied volatilities in between market expirations while keeping local volatilities virtually constant in time for any strike relative to forward. The method never creates an arbitrage. If the input volatilities are not arbitrage-free, the method...
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Modeling Arbitrage with an Automated Market Maker
Sylvester, Sarah; McCabe, Kevin A.; Psurek, Aleksander; … - 2022
Automated Market Makers (AMMs) are a relatively new mechanism that allow people to trade cryptocurrencies instantly. Unlike typical centralized trades that utilize order-books, AMMs are decentralized, so they do not require the matching of buyers and sellers for exchanges; rather, they use a...
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