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...

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...

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...

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...

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...

This paper analyses the integration of global natural gas markets across North America, Europe, and Asia from 2016 to 2022. The analysis focuses on the impact of the United States emerging as a major liquefied natural gas (LNG) exporter and significant supply disruptions, including the sharp...

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...

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...

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the deviation. A demand shock leads to greater liquidity,...

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...

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...

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...