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Year of publication
Subject
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Arbitrage 3,152 Theorie 1,502 Theory 1,496 Arbitrage Pricing 617 Arbitrage pricing 617 Portfolio-Management 508 Portfolio selection 507 Börsenkurs 479 Share price 477 CAPM 390 Capital income 320 Kapitaleinkommen 320 USA 289 United States 285 Derivat 283 Derivative 283 Anlageverhalten 240 Behavioural finance 240 Optionspreistheorie 197 Option pricing theory 196 Efficient market hypothesis 194 Effizienzmarkthypothese 194 Welt 191 World 189 Schätzung 187 Volatilität 187 Volatility 186 Wertpapierhandel 186 Estimation 184 Securities trading 184 Finanzmarkt 182 Financial market 181 Risiko 178 Risk 176 Index-Futures 158 Index futures 157 Transaktionskosten 132 Transaction costs 131 Yield curve 128 Zinsstruktur 128
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Online availability
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Free 1,129 Undetermined 720 CC license 34
Type of publication
All
Article 1,665 Book / Working Paper 1,503
Type of publication (narrower categories)
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Article in journal 1,551 Aufsatz in Zeitschrift 1,551 Graue Literatur 544 Non-commercial literature 544 Working Paper 514 Arbeitspapier 505 Aufsatz im Buch 83 Book section 83 Hochschulschrift 73 Thesis 55 Collection of articles written by one author 17 Sammlung 17 Collection of articles of several authors 15 Sammelwerk 15 Amtsdruckschrift 13 Government document 13 Bibliografie enthalten 9 Bibliography included 9 Conference paper 8 Konferenzbeitrag 8 Case study 6 Fallstudie 6 Aufsatzsammlung 5 Forschungsbericht 5 Conference proceedings 3 Handbook 3 Handbuch 3 Konferenzschrift 3 Lehrbuch 2 Article 1 Bibliografie 1 Biografie 1 Biography 1 Einführung 1 Interview 1 Mehrbändiges Werk 1 Mikroform 1 Multi-volume publication 1 Nachschlagewerk 1 Ratgeber 1
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Language
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English 3,043 German 84 French 22 Undetermined 7 Italian 4 Spanish 3 Polish 2 Portuguese 2 Finnish 1 Croatian 1 Norwegian 1 Slovenian 1
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Author
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Vayanos, Dimitri 35 Chichilnisky, Graciela 27 Jarrow, Robert A. 26 Jouini, Elyès 20 Gromb, Denis 19 Stübinger, Johannes 18 Fung, Joseph K. W. 15 Krauss, Christopher 15 Jiang, Wei 13 Kempf, Alexander 13 Stambaugh, Robert F. 13 Acharya, Viral V. 12 Goldstein, Itay 12 Page, Frank H. 12 Rime, Dagfinn 12 Stein, Jeremy C. 12 Yuan, Yu 12 Dionne, Georges 11 Ghosh, Dilip K. 11 Cuong Le Van 10 Dow, James 10 Franzoni, Francesco 10 Zigrand, Jean-Pierre 10 Bühler, Wolfgang 9 Fabozzi, Frank J. 9 Fardeau, Vincent 9 Kallal, Hédi D. 9 Lepinette, Emmanuel 9 Löffler, Andreas 9 Poutré, Cédric 9 Rahi, Rohit 9 Verwijmeren, Patrick 9 Branch, Ben Shirley 8 Edmans, Alex 8 Gallagher, Liam 8 Guirguis, Michel 8 Kozhan, Roman 8 Moussawi, Rabih 8 Protter, Philip E. 8 Syrstad, Olav 8
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Institution
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National Bureau of Economic Research 49 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 5 Universität Augsburg / Institut für Statistik und Mathematische Wirtschaftstheorie 3 Centre for Economic Policy Research 2 Rodney L. White Center for Financial Research 2 University of Strathclyde / Department of Economics 2 Associazione Amici della Scuola Normale Superiore di Pisa 1 Birmingham Business School 1 Bonn Graduate School of Economics 1 Centre for Analytical Finance <Århus> 1 Centro de Estudios Macroeconómicos de Argentina / Universidad 1 Chambre de commerce et d'industrie de Paris 1 Cornell University / Cornell Food and Nutrition Policy Program 1 Deutsche Forschungsgemeinschaft 1 Deutsche Vereinigung für Finanzanalyse und Anlageberatung 1 Deutschland / Bundeswehr / Universität Hamburg 1 Ekonomiska forskningsinstitutet <Stockholm> 1 European University Institute / Department of Economics 1 Federal Reserve Bank of New York 1 Institut für Höhere Studien 1 Institute of Finance and Accounting <London> 1 International Association of Lawyers 1 Queen Mary College / Department of Economics 1 Research Seminar in International Economics 1 Russell Sage Foundation 1 Slowenien / Državna Arbitraža 1 Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Rheinische Friedrich-Wilhelms-Universität Bonn 1 Sonderforschungsbereich Information und die Koordination Wirtschaftlicher Aktivitäten <Bonn> 1 Sonderforschungsbereich Information und die Koordination Wirtschaftlicher Aktivitäten <Bonn> / Projektbereich Variable und Informationsabhängige Strukturen 1 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 1 Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes 1 Stanford Institute for Economic Policy Research 1 Svenska Handelshögskolan <Helsinki> 1 Swiss Finance Institute 1 Technische Universiteit Delft / Department of Mathematics and Computer Science 1 USA / Committee on Governmental Affairs / Permanent Subcommittee on Investigations 1 Union Internationale des Avocats 1 Universitat Pompeu Fabra / Departament d'Economia i Empresa 1 University of Chicago / Center for Research in Security Prices 1 University of Hong Kong / School of Economics and Finance 1
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Published in...
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The journal of futures markets 61 NBER working paper series 48 Journal of financial economics 47 Journal of banking & finance 38 NBER Working Paper 37 The review of financial studies 36 Working paper / National Bureau of Economic Research, Inc. 36 The journal of finance : the journal of the American Finance Association 35 Mathematical finance : an international journal of mathematics, statistics and financial theory 32 Discussion paper / Centre for Economic Policy Research 31 Finance and stochastics 31 Finance research letters 29 Pacific-Basin finance journal 27 International journal of theoretical and applied finance 26 International review of financial analysis 26 Journal of financial markets 22 Quantitative finance 22 Journal of empirical finance 21 Mathematics and financial economics 21 Journal of financial and quantitative analysis : JFQA 20 Journal of international financial markets, institutions & money 20 Research paper series / Swiss Finance Institute 20 Management science : journal of the Institute for Operations Research and the Management Sciences 19 Discussion papers / CEPR 18 International review of economics & finance : IREF 17 Journal of mathematical economics 17 Annals of finance 15 Energy economics 15 Applied economics 14 Discussion paper / LSE Financial Markets Group 14 Review of quantitative finance and accounting 14 Journal of international money and finance 13 Discussion paper 12 Discussion paper / Tinbergen Institute 12 Review of finance : journal of the European Finance Association 12 Risks : open access journal 12 Série des documents de travail / Centre de Recherche en Économie et Statistique 12 The journal of business : B 12 Working paper 12 Discussion paper series / Department of Economics, Columbia University 11
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Source
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ECONIS (ZBW) 3,158 EconStor 10
Showing 1 - 50 of 3,168
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Investor clientele and intraday patterns in the cross section of stock returns
Chen, Jian; Haboub, Ahmad; Khan, Ali; Mahmud, Syed - In: Review of quantitative finance and accounting 64 (2025) 2, pp. 757-797
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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 fundamental theorem of asset pricing with and without transaction costs
Kühn, Christoph - 2025
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Mean reversion trading on the naphtha crack
Turquet, Briac; Bajgrowicz, Pierre; Scaillet, Olivier - 2024
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Daily episodic and continuous arbitrage trading with electric batteries
Hou, Shujin; Bunn, Derek W. - In: The energy journal 45 (2024) 4, pp. 179-194
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Unleashing knowledge arbitrage potential : empowering startups through knowledge management
Nawaz, Rabiya; Hina, Maryam; Sharma, Veenu; Srivastava, … - In: Journal of knowledge management 28 (2024) 11, pp. 221-254
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Left-tail risk and UK stock return predictability : underreaction, overreaction, and arbitrage difficulties
Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos - In: International review of financial analysis 95 (2024) 1, pp. 1-25
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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...
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Does uncertainty affect the limits of arbitrage? : evidence from the U.S. stock markets
Chen, Weihua; Mamon, Rogemar; Xiong, Heng; Zeng, Pingping - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-19
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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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Risk, arbitrage, and spatial price relationships : insights from China's hog market under the African Swine Fever
Ma, Meilin; Delgado, Michael S.; Wang, H. Holly - In: Journal of development economics 166 (2024), pp. 1-17
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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...
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Sharks in the dark : quantifying HFT dark pool latency arbitrage
Aquilina, Matteo; Foley, Sean; O'Neill, Peter; Ruf, Thomas - In: Journal of economic dynamics & control 158 (2024), pp. 1-22
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Takeovers, freezeouts, and risk arbitrage
Gomes, Armando R. - In: Games 15 (2024) 1, pp. 1-27
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...
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Enhancing betting against beta with stochastic dominance
Kolokolova, Olga; Xu, Xia - In: Journal of empirical finance 76 (2024), pp. 1-19
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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...
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Limits of arbitrage and their impact on market efficiency : evidence from China
Chen, Jian; Haboub, Ahmad; Khan, Ali - In: Global finance journal 59 (2024), pp. 1-17
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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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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...
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Quality acceleration and cross-sectional returns : empirical evidence
Ma, Yao; Yang, Baochen; Ye, Tao - In: Research in international business and finance 69 (2024), pp. 1-21
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015052448
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Global de-diversification and stock returns
Cheng, Xiao; Huang, Ying; Wang, Tao - In: Research in international business and finance 69 (2024), pp. 1-13
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The role of arbitrage risk in the MAX effect : evidence from the Korean stock market
Goh, Jihoon; Kim, Donghoon - In: Journal of derivatives and quantitative studies : … 32 (2024) 2, pp. 159-180
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...
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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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Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market
Korniejczuk, Adam; Ślepaczuk, Robert - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014634696
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Diversification and idiosyncratic volatility puzzle : evidence from ETFs
Duanmu, Jun; Hur, Jungshik; Li, Yongjia - In: Research in international business and finance 71 (2024), pp. 1-16
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015062053
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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
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015044789
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Fire sales of safe assets
Pinter, Gabor; Siriwardane, Emil N.; Walker, Danny - 2024
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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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Equilibrium with asymmetric information and restricted participation : the no-arbitrage characterization
Boisdeffre, Lionel de - 2024
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Arbitrage and non-linear taxes
Becker, Marcus; Löffler, Andreas - 2024
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Arbitrage opportunities and efficiency tests in crypto derivatives
Alexander, Carol; Chen, Xi; Deng, Jun; Wang, Tianyi - In: Journal of financial markets 71 (2024), pp. 1-20
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The role of centralization index in identifying momentum stage of stocks : empirical evidence from investor networks
Liu, Wen-Rang - In: Cogent economics & finance 12 (2024) 1, pp. 1-25
This study uses a unique dataset of transactions at the account level to construct investor networks. These networks are then analyzed to examine the role of the network centralization index in identifying the stock momentum stages. The empirical results demonstrate that the early stage strategy...
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Machine learning as arbitrage : can economics help explain AI?
Lu, Huahao; Spiegel, Matthew; Zhang, Hong - 2024
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An arbitrage driven price dynamics of Automated Market Makers in the presence of fees
Najnudel, Joseph; Tung, Shen-Ning; Yamazaki, Kazutoshi; … - In: Frontiers of mathematical finance : FMF 3 (2024) 4, pp. 560-571
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Rethinking institutional arbitrage : de jure exposure and de facto enforcement
2024
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Arbitrage Opportunities and Efficiency Tests in Crypto Options
Alexander, Carol; Chen, Xi; Deng, Jun; Wang, Tianyi - 2023
For liquidity providers in the rapidly-growing crypto options market as well as potential institutional investors in crypto options, we test the joint efficiency of the bitcoin options and perpetual futures markets, and likewise for ether, and identify the frequency and magnitude of arbitrage...
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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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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 Financial and Non-Financial Performance of Token-Based Crowdfunding : Certification Arbitrage, Investor Choice, and the Optimal Timing of ICOs
Dombrowski, Niclas; Drobetz, Wolfgang; Hornuf, Lars; … - 2023
What role does the selection of an investor and the timing of financing play in initial coin offerings (ICOs)? We investigate the operating and financial performance of ventures conducting ICOs with different types of investors at different points in the ventures’ life cycle. We find that,...
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Minimum Variance Hedge Ratios using Short-Lived Arbitrage Model and Artificial Neural Network
Ni, Yinan; Sun, Yanfei - 2023
Motivated by the short-lived arbitrage model, we jointly imply volatilities and virtual interest rates of options to develop minimum variance hedge ratios. We use artificial neural networks to capture the dynamics between the underlying asset price and correlated state variables, which improves...
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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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Stablecoin Runs and the Centralization of Arbitrage
Ma, Yiming; Zeng, Yao; Zhang, Anthony Lee - 2023
We analyze the run risk of USD-backed stablecoins. Stablecoin issuers aim to keep the stablecoin price at $1 by holding a portfolio of US dollar assets like bank deposits, Treasuries, and corporate bonds while promising to exchange stablecoins for $1 in cash with arbitrageurs. We show that asset...
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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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Whence LASSO? A Rational Interpretation
Chen, Wen; Hu, Bo; Yang, Liyan - 2023
This paper rationalizes the LASSO algorithm based on uncertain fat-tail priors and max-min robust optimization. Our rationalization excludes heuristic learning or restrictive prior assumptions in the original interpretation of LASSO (Tibshirani (1996)). In our setting, economic agents...
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The No-Arbitrage Hypothesis and Inertia in Forward Markets1
Ferreira, José Luis; Kujal, Praveen; Rassenti, Stephen - 2023
It is well known that the no-arbitrage condition in forward markets is obtained as a feature of the equilibrium if the model allows for strategic behavior on the part of the buyers. We experimentally test for the no-arbitrage condition in a forward market by allowing for active buyers. We test...
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