Search Results - subject_exact:"Arbitrage"

Stablecoin flows and spillovers to FX markets

Aldasoro, Iñaki; Beltran, Paula; Grinberg, Federico - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668201

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

Regulation often applies asymmetrically across the legally distinct entities within a firm. We study the consequences in U.S. bank holding companies, where regulated banks coexist with more lightly-regulated nonbanks. Exploiting Basel III and predetermined variation in organizational complexity,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015644240

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

Boisdeffre, Lionel de - 2025

Persistent link: https://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://ebvufind01.dmz1.zbw.eu/10015447692

Quantitative fundamental theorem of asset pricing

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015460602

Takeovers, freezeouts, and risk arbitrage

Gomes, Armando R. - 2024

This paper develops a dynamic model of tender offers in which there is trading on the target's shares during the takeover, and bidders can freeze out target shareholders (compulsorily acquire remaining shares not tendered at the bid price), features that prevail on almost all takeovers. We show...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014480797

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Takeovers, freezeouts, and risk arbitrage

Gomes, Armando R. - 2024

Article

Disentangling the "shadow banking" metaphor

Labat Moles, Héctor - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015604801

Pricing rules with market frictions : an axiomatic approach

Cornet, Bernard - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016082766

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Pricing rules with market frictions : an axiomatic approach

Cornet, Bernard - 2026

Book / Working Paper

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://ebvufind01.dmz1.zbw.eu/10015639047

Crowded spaces and anomalies

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015559042

CIP violations as functional components of the dynamic cross-currency basis curve

Borner, David; Sorg, Heiko - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672534

Efficient battery control in the German continuous intraday market

Gottfried, Thomas; Müller, Gernot - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015651462

Using apple products to evaluate the law of one price and exchange rate passthrough

Walker, Rick; Du Rand, Gideon; Hollander, Hylton; Van … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015673250

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Using Apple products to evaluate the law of one price and exchange rate passthrough

Walker, Rick; Du Rand, Gideon; Hollander, Hylton; Van … - 2025

Book / Working Paper

Complexity breaks arbitrage pricing theory

Davis, Carter; Lopez-Lira, Alejandro - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016071200

Efficiency of Indian equity futures market : an empirical analysis with reference to national stock exchange

Roy, Partha Sarathi; Chakraborty, Tanupa - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014433217

Sparse modeling approach to the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities

Guterding, Daniel - 2023

We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates terminal density and option prices. Using a discretization of the terminal density, we write these integral equations as...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014332042

Mispricing in inflation markets

Barria, Rodrigo; Pinter, Gabor - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014373722

Arbitrage across different Bitcoin exchange venues : perspectives from investor base and market related events

Shu, Ao; Cheng, Feiyang; Han, Jianlei; Liang, Zini; … - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014477353

Global Natural Gas Market Integration: The Role of LNG Trade and Infrastructure Constraints

Farag, Markos; Jeddi, Samir; Kopp, Jan Hendrik - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015440470

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

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015444388

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

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

Persistent link: https://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://ebvufind01.dmz1.zbw.eu/10015194606

Bitcoin arbitrage and exchange default risk

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015196494

The fundamental theorem of asset pricing with and without transaction costs

Kühn, Christoph - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015359132

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

Sun, Yufei - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015455221

Performance of pairs trading strategies based on Renko and Kagi charts

Sun, Yufei - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015455222

Arbitrage networks

Rahi, Rohit; Zigrand, Jean-Pierre - 2025

Persistent link: https://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://ebvufind01.dmz1.zbw.eu/10015412354

Global Natural gas market integration : the role of LNG trade and infrastructure constraints

Farag, Markos; Jeddi, Samir; Kopp, Jan Hendrik - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015438844

Arbitrage-based recovery

Horvath, Ferenc - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015562150

Central Bank-driven mispricing

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

Persistent link: https://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://ebvufind01.dmz1.zbw.eu/10015564576

Fixed-income pricing and the replication of liabilities

Filipović, Damir - 2025

Persistent link: https://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://ebvufind01.dmz1.zbw.eu/10015615847

Decentralised finance and automated market making : execution and speculation

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

Persistent link: https://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://ebvufind01.dmz1.zbw.eu/10015606496

Mean reversion trading on the naphtha crack

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

Persistent link: https://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://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://ebvufind01.dmz1.zbw.eu/10015656748

The liquidity state dependence of monetary policy transmission

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015476813

Harnessing artificial intelligence for monitoring financial markets

Aquilina, Matteo; Araujo, Douglas Kiarelly Godoy de; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015476824

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Harnessing artificial intelligence for monitoring financial markets

Aquilina, Matteo; Araujo, Douglas Kiarelly Godoy de; … - 2025

Book / Working Paper

Unveiling low productivity premium : a tale from emerging market

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015481248

Stochastic arbitrage with market index options

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015558576

The short-duration premium and news announcements

Beckmeyer, Heiner; Meyerhof, Paul - 2025

Persistent link: https://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://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://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://ebvufind01.dmz1.zbw.eu/10015509233

The law of one price in quadratic hedging and mean-variance portfolio selection

Černý, Aleš; Czichowsky, Christoph - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081468

The value of arbitrage

Dávila, Eduardo; Graves, Daniel; Parlatore, Cecilia - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014633522

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The value of arbitrage

Dávila, Eduardo; Graves, Daniel; Parlatore, Cecilia - 2022

Book / Working Paper

The Value of Arbitrage

Dávila, Eduardo; Graves, Daniel D.; Parlatore, Cecilia - 2022

Book / Working Paper

The value of arbitrage

Dávila, Eduardo; Graves, Daniel; Parlatore, Cecilia - 2022

Book / Working Paper

Pricing options with vanishing stochastic volatility

Mastroeni, Loretta - 2022

In the past years, there has been an extensive investigation of the class of stochastic volatility models for the evaluation of options and complex derivatives. These models have proven to be extremely useful in generalizing the classic Black-Scholes economy and accounting for discrepancies...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013473177

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Pricing options with vanishing stochastic volatility

Mastroeni, Loretta - 2022

Article