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Market efficiency and limits to arbitrage : evidence from the Volkswagen short squeeze
Allen, Franklin; Haas, Marlene; Nowak, Eric; Tengulov, Angel - 2018
On October 26, 2008, Porsche announced a largely unexpected domination plan for Volkswagen. The resulting short squeeze in Volkswagen's stock briefly made it the most valuable listed company in the world. We argue that this was a manipulation designed to save Porsche from insolvency and the...
Persistent link: https://www.econbiz.de/10011875647
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Cascading logistic regression onto gradient boosted decision trees to predict stock market changes using technical analysis
Zhou, Feng; Zhang, Qun; Sornette, Didier; Jiang, Liu - 2018
In the data mining and machine learning fields, forecasting the direction of price change can be generally formulated as a supervised classfii cation. This paper attempts to predict the direction of daily changes of the Nasdaq Composite Index (NCI) and of the Standard & Poor's 500 Composite...
Persistent link: https://www.econbiz.de/10011900252
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Convex duality in mean variance hedging under convex trading constraints
Czichowsky, Christoph; Schweizer, Martin - 2012 - This version: June 4, 2012
We study mean-variance hedging under portfolio constraints in a general semimartingale model. The constraints are formulated via predictable correspondences, meaning that the trading strategy is restricted to lie in a closed convex set which may depend on the state and time in a predictable way....
Persistent link: https://www.econbiz.de/10009558290
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Stability of sigma-martingale densities in L log L under an equivalent change of measure
Choulli, Tahir; Schweizer, Martin - 2011
absence-of-arbitrage property of S, and is invariant if we replace the reference measure P with an equivalent measure Q. Now …
Persistent link: https://www.econbiz.de/10009558691
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Locally phi-integrable sigma-martingale densities for general semimartingales
Choulli, Tahir; Schweizer, Martin - 2015 - This version: 22.5.2015
product ZS is a P-sigma-martingale. Existence of a P-sigma-martingale density is equivalent to a classic absence-of-arbitrage …
Persistent link: https://www.econbiz.de/10011296922
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Uniform integrability of a single jump local martingale with state-dependent characteristics
Schatz, Michael; Sornette, Didier - 2017
We investigate a deterministic criterion to determine whether a diffusive local martingale with a single jump and state-dependent characteristics is a uniformly integrable martingale. We allow the diffusion coefficient, the jump hazard rate and the relative jump size to depend on the state and...
Persistent link: https://www.econbiz.de/10011762245
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Inefficient bubbles and efficient drawdowns in financial markets
Schatz, Michael; Sornette, Didier - 2018
Kindleberger and Robert Shiller have documented that irrational behavior, ambiguous information or certain limits to arbitrage are …
Persistent link: https://www.econbiz.de/10011900246
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Making no-arbitrage discounting-invariant : a new FTAP beyond NFLVR and NUPBR
Bálint, Dániel Ágoston; Schweizer, Martin - 2018 - This version: March 16, 2018
In general multi-asset models of financial markets, the classic no-arbitrage concepts NFLVR and NUPBR have the serious … introduce a new way of defining “absence of arbitrage”. It rests on the new notion of a strategy being strongly share maximal … absence-of-arbitrage concepts do not change when we look at discounted or undiscounted prices, and they can be used in open …
Persistent link: https://www.econbiz.de/10011899592
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Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Brownian motion, an associated "master...
Persistent link: https://www.econbiz.de/10008797695
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Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Strong, Winslow - 2012
equivalent sigma-martingale measure for the price process, and the equivalence of no arbitrage of the fi rst kind to the …
Persistent link: https://www.econbiz.de/10009554744