Search Results - subject:"Apt"

The Profitability of Lead-Lag Arbitrage at High-Frequency

Poutré, Cédric; Dionne, Georges; yergeau, gabriel - 2022

Any lead-lag effect in an asset pair implies the future returns on the lagging asset have the potential to be predicted from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead-lag indicators to uncover the origin of price discovery...

Persistent link: https://www.econbiz.de/10014239339

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...

Persistent link: https://www.econbiz.de/10014030661

Arbitrage Pricing Theory

Huberman, Gur; Wang, Zhenyu - 2022

Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one … expected return and its covariance with the factors. The APT, however, does not preclude arbitrage over dynamic portfolios … empirical test of the APT entails a procedure to identify features of the underlying factor structure rather than merely a …

Persistent link: https://www.econbiz.de/10013294606

Evolutionary Arbitrage

Crego, Julio A.; Kvaerner, Jens; Sommervoll, Åvald; … - 2022

The prices of exchange-traded funds (ETFs) can deviate significantly from their net asset values (NAVs). Exploiting such inefficiencies is often too costly because it involves taking positions in hundreds of underlying illiquid securities. We develop a method that identifies a liquid mimicking...

Persistent link: https://www.econbiz.de/10013297123

Identify arbitrage using machine learning on multi-stock pair trading price forecasting

Zhang, Zhijie - 2022

Persistent link: https://www.econbiz.de/10013445700

Flow-Based Arbitrage Pricing Theory

An, Yu - 2022

I generalize the textbook arbitrage-pricing framework to characterize how uninformative flows generate price impacts. The modeled channel is that price impacts arise as marginal investors' risk compensation. I build a new model of price impacts that allows for common factors of flows and common...

Persistent link: https://www.econbiz.de/10013405781

Advertising arbitrage

Kovbasjuk, Sergej; Pagano, Marco - In: Review of finance : journal of the European Finance … 26 (2022) 4, pp. 799-827

Persistent link: https://www.econbiz.de/10013349375

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

Persistent link: https://www.econbiz.de/10013490592

Arbitrage Bots in Experimental Asset Markets

Angerer, Martin; Neugebauer, Tibor; Shachat, Jason - 2022

Trading algorithms are an integral component of modern asset markets. In two experimental markets for long-lived correlated assets we examine the impact of alternative types of arbitrage-seeking algorithms. These arbitrage robot traders vary in their latency and whether they make or take market...

Persistent link: https://www.econbiz.de/10013308153

Externalities as Arbitrage

Hebert, Benjamin - 2022

How can we assess whether macro-prudential regulations are having their intended effects? If these regulations are optimal, their marginal benefit of addressing externalities should equal their marginal cost of distorting risk-sharing. These risk-sharing distortions will manifest as trading...

Persistent link: https://www.econbiz.de/10013406874

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