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Arbitrage in Stationary Markets
Evstigneev, Igor; Kapoor, Dhruv - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic … framework of this model, we find conditions that are necessary and sufficient for the absence of arbitrage opportunities. We …
Persistent link: https://www.econbiz.de/10005857775
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Co-monotonicity of optimal investments and the design of structured financial products
Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We prove that under very weak conditions optimal financial products have to be co-monotone with the inverted state price density. Optimality is meant in the sense of the maximization of an arbitrary preference model, e.g. Expected Utility Theory or Prospect Theory. The proof is based on methods...
Persistent link: https://www.econbiz.de/10005858203
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Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns
Connor, Gregory; Hagmann, Matthias; Linton, Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...
Persistent link: https://www.econbiz.de/10005857787
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Limits to Arbitrage when Market Participation Is Restricted
Hens, Thorsten; Heringsy, Jean-Jacques; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
There is an extensive literature claiming that it is often difficultto make use of arbitrage opportunities in financial … markets. Thispaper provides a new reason why existing arbitrage opportunitiesmight not be seized. We consider a world with … short-lived securities,no short-selling constraints and no transaction costs. We show thatto exploit all existing arbitrage …
Persistent link: https://www.econbiz.de/10005858363
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Misspecified Filtering Theory applied to Optimal Allocation Problems in Finance
Martinez, Miguel; Rubenthaler, Sylvain; Tanr, Etienne - Institut für Schweizerisches Bankwesen <Zürich> - 2006
In this paper, we consider an investor who plays in a market that involves a risky asset whose instantaneous rate of return changes at unknown random times. This return rate is assumed to follow the law of a Compound Poisson Process. We construct optimal mathematical strategies in this context...
Persistent link: https://www.econbiz.de/10005858585
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Technical Analysis Compared to Mathematical Models Based Methods Under Misspecification
Blanchet-Scaillet, Christophe; Diop, Awa; Gibson, Rajna; … - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct...
Persistent link: https://www.econbiz.de/10005858764
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Are stock markets really like beauty contests? - Empirical evidence of higher order belief's impact on asset prices
Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
The goal of this paper is to assess, for the first time, the empirical impact of "Kaynes' beauty contest", or "higher order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and that heterogeneous expectation asset pricing models...
Persistent link: https://www.econbiz.de/10005857785
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Performance of Initial Public Offerings : The Evidence for Switzerland
Drobetz, Wolfgang; Kammermann, Matthias; Waelchli, Urs - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We examine the underpricing and long-term performance of a broad set ofSwiss IPOs from 1983 to 2000. The average market adjusted initial return is34.97%. Our results support the ex ante uncertainty hypothesis, the signal-ling hypothesis and, to some extent, the market cyclicality hypothesis...
Persistent link: https://www.econbiz.de/10005858709
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Detecting Informed Trading Activities in the OptionsMarkets
Chesney, Marc; Crameri, Remo; Mancini, Loriano - Institut für Schweizerisches Bankwesen <Zürich> - 2009
This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...
Persistent link: https://www.econbiz.de/10005868704
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The impact of heterogeneous beliefs on trading volume
Bauer, Wolfgang - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...
Persistent link: https://www.econbiz.de/10005857971