Search Results - subject_exact:"Arbitrage theory"

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Disentangling the "shadow banking" metaphor

Labat Moles, Héctor - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604801

Pricing rules with market frictions : an axiomatic approach

Cornet, Bernard - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619822

Human-AI synergy in statistical arbitrage : enhancing robustness across volatile financial markets

Lei, Binxu - 2026

This study provides a structured review of statistical arbitrage research in the context of artificial intelligence, with a particular focus on machine learning based methods. The reviewed literature highlights the evolution from linear, rule-based strategies to increasingly complex data-driven...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639047

Regulatory arbitrage within the firm

Cetorelli, Nicola; Kundu, Shohini - 2026 - Revised June 2026

Regulation shapes the boundaries of firms. When prudential standards bind asymmetrically across subsidiaries of an integrated organization, internal capital markets become a mechanism for regulatory arbitrage. We study this in U.S. banking, where holding companies encompass both heavily...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644240

Efficient battery control in the German continuous intraday market

Gottfried, Thomas; Müller, Gernot - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015651462

Crowded spaces and anomalies

Chincarini, Ludwig Boris; Lazo-Paz, Renato; Moneta, Fabio - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015559042

Wish or reality? : on the exploitability of triangular arbitrage in cryptocurrency markets

Muck, Matthias; Schmidl, Thomas; Wolf, Julian - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015210351

Investor clientele and intraday patterns in the cross section of stock returns

Chen, Jian; Haboub, Ahmad; Khan, Ali; Mahmud, Syed - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015194606

Bitcoin arbitrage and exchange default risk

Guo, Weiwei; Intini, Silvia; Jahanshahloo, Hossein - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196494

The fundamental theorem of asset pricing with and without transaction costs

Kühn, Christoph - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359132

Equilibrium with asymmetric information and restricted participation : the no-arbitrage characterization

Boisdeffre, Lionel de - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015420532

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Equilibrium with asymmetric information and restricted participation : the no-arbitrage characterization

Boisdeffre, Lionel de - 2024

Book / Working Paper

A comment on "Market Power and Price Exposure: Learning from Changes in Renewable Energy Regulation"

Bryan, Calvin; Donovan, Pierce; Kacker, Kanishka; Pham, Linh - 2025

Fabra and Imelda (2023) study how the method of payment for renewable energy can reduce the ability of energy producers to exert market power in electricity markets. Their theoretical model provides predictions for dominant and fringe firm behavior under incentives using fixed prices or market...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447692

A survey of statistical arbitrage pairs trading strategies with non-machine learning methods, 2016-2023

Sun, Yufei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015455221

Performance of pairs trading strategies based on Renko and Kagi charts

Sun, Yufei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015455222

Arbitrage networks

Rahi, Rohit; Zigrand, Jean-Pierre - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015409210

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Arbitrage Networks

Rahi, Rohit - 2013

Book / Working Paper

Securing passive liquidity : the impact of Europe's first asymmetric speed bump on market liquidity

Le Moign, Caroline - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015412354

Quantitative fundamental theorem of asset pricing

Acciaio, Beatrice; Backhoff-Veraguas, Julio; Pammer, Gudmund - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015460602

Arbitrage-based recovery

Horvath, Ferenc - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015562150

Central Bank-driven mispricing

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015564574

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Central bank-driven mispricing

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: August 2018

Edition: This version: August 2018

Book / Working Paper

Central bank-driven mispricing

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: October 2018

Edition: This version: October 2018

Book / Working Paper

Strategic arbitrage in segmented markets

Bryzgalova, Svetlana; Pavlova, Anna; Sikorskaya, Taisiya - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015564576

Fixed-income pricing and the replication of liabilities

Filipović, Damir - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609709

Does pair trading still work during extreme events? : a comprehensive empirical evidence from Chinese stock market

Sun, Yufei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615847

Decentralised finance and automated market making : execution and speculation

Cartea, Álvaro; Drissi, Fayçal; Monga, Marcello - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015556668

Detecting, characterizing, and predicting arbitrage opportunities in international rights issues

Verdú Henares, Manuel; Carchano Alcina, Óscar; Ruíz, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015606496

Mean reversion trading on the naphtha crack

Turquet, Briac; Bajgrowicz, Pierre; Scaillet, Olivier - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015606773

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Mean reversion trading on the naphtha crack

Turquet, Briac; Bajgrowicz, Pierre; Scaillet, Olivier - 2024

Book / Working Paper

Global arbitrage under settlement cycle mismatch

Chau, Yuet Ning - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015606803

Pairs trading with time-series deep learning models

Yilmaz, Selin; Sefer, Emre - 2025

Pairs trading is a well-studied statistical arbitrage strategy including the identification of asset pairs exhibiting correlated changes in their historical prices. This statistical arbitrage strategy focuses on benefiting from non-permanent divergent behaviour of price, and it forecasts that...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656748

The liquidity state dependence of monetary policy transmission

Ashtari-Tafti, Oliver; Guimaraes, Rodrigo; Pinter, Gabor; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015476813

Unveiling low productivity premium : a tale from emerging market

Ding, Zhiguo; Qi, Ji; Tang, Yun; Zhao, Xuankai - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015481248

Stochastic arbitrage with market index options

Beare, Brendan K.; Seo, Juwon; Zheng, Zhongxi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015558576

The short-duration premium and news announcements

Beckmeyer, Heiner; Meyerhof, Paul - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015558654

A new leadership share measure for price discovery

Lien, Da-hsiang Donald; Roseman, Brian; Shi, Yanlin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015558906

Copula-based trading of cointegrated cryptocurrency Pairs

Tadi, Masood; Witzany, Jiří - 2025

This study introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies. To identify the most suitable pairs and generate trading signals formulated from a reference asset for analyzing the mispricing index, the study employs linear and nonlinear...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015559473

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Copula-based trading of cointegrated cryptocurrency pairs

Tadi, Masood; Witzany, Jiří - 2023

Book / Working Paper

Behind the corporate veil: how business groups arbitrage ESG disclosure mandates

Cascino, Stefano; Correia, Maria M. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015509233

The role of arbitrage risk in the MAX effect : evidence from the Korean stock market

Goh, Jihoon; Kim, Donghoon - 2024

In this study, we investigate what drives the MAX effect in the South Korean stock market. We find that the MAX effect is significant only for overpriced stocks categorized by the composite mispricing index. Our results suggest that investors' demand for the lottery and the arbitrage risk effect...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015055029

Convertible debt arbitrage crashes revisited

Lewis, Craig M.; Munyan, Ben; Verwijmeren, Patrick - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015055438

Diversification and idiosyncratic volatility puzzle : evidence from ETFs

Duanmu, Jun; Hur, Jungshik; Li, Yongjia - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015062053

Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market

Korniejczuk, Adam; Ślepaczuk, Robert - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014634696

A tale of two cities : inter-market latency and fast-trader competition

Sagade, Satchit; Scharnowski, Stefan; Theissen, Erik; … - 2024 - This version: July 10, 2024

We examine the impact of increasing competition among the fastest traders by analyzing a new low-latency microwave network connecting exchanges trading the same stocks. Using a difference-in-differences approach comparing German stocks with similar French stocks, we find improved market...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015065826

An experimental analysis on cross-asset arbitrage opportunity and the law of one price

Duan, Jieyi; Hanaki, Nobuyuki - 2024

This study experimentally investigates the impact of the lack of arbitrage opportunities across different assets on the realization of the law of one price. Our experiment is based on the framework established by Charness and Neugebauer (2019) where participants, acting as traders, are involved...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015066896

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015076391

Sharks in the dark : quantifying HFT dark pool latency arbitrage

Aquilina, Matteo; Foley, Sean; O'Neill, Peter; Ruf, Thomas - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014532187

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Sharks in the dark: quantifying HFT dark pool latency arbitrage

Aquilina, Matteo; Foley, Sean; O'Neill, Peter; Ruf, Thomas - 2023

Book / Working Paper

Enhancing betting against beta with stochastic dominance

Kolokolova, Olga; Xu, Xia - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014491900

Cointegrated portfolios and volatility modeling in the cryptocurrency market

Gabriel, Stefan; Kunst, Robert M. - 2024

We examine two major topics in the field of cryptocurrencies. On the one hand, we investigate possible long-run equilibrium relationships among ten major cryptocurrencies by applying two different cointegration tests. This analysis aims at constructing cointegrated portfolios that enable...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014495264

Arbitrage problems with reflected geometric Brownian motion

Buckner, Dean; Dowd, Kevin; Hulley, Hardy - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014447570

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Arbitrage Problems with Reflected Geometric Brownian motion

Buckner, Dean; Dowd, Kevin; Hulley, Hardy - 2022

Book / Working Paper

Real term premia in consumption-based models

Melissinos, Errikos - 2024

Can consumption-based mechanisms generate positive and time-varying real term premia as we see in the data? I show that only models with time-varying risk aversion or models with high consumption risk can independently produce these patterns. The latter explanation has not been analysed before...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014448212