Showing 1 - 10 of 675,126
We study the dynamics of cash-and-carry arbitrage using the U.S. crude oil market. Sizable arbitrage-related inventory … factors explain most inventory changes. We add to the Theory of Storage literature by introducing two new features. First, due …. Second, storage capacity limits can impede cash-and-carry arbitrage, leading to the persistence of unexploited arbitrage …
Persistent link: https://www.econbiz.de/10013247693
arbitrage capital employed. Due to the price impact, investors forwent 3.6\% annual return, 48\% higher Sharpe ratio, and …
Persistent link: https://www.econbiz.de/10013132400
arbitrage limits in pricing commodity futures. We also contribute to the Theory of Storage literature, which has largely ignored …We extend the Limits to Arbitrage literature by studying how physical constraints affect financial arbitrage in … violations of the no-arbitrage futures pricing conditions due to storage capacity constraints at the WTI futures delivery hub. We …
Persistent link: https://www.econbiz.de/10012956418
In this paper, we introduce the concept of statistical arbitrage through the definition of a trading strategy that …-reverting statistical arbitrage, and to develop trading strategies. We empirically investigate the existence of statistical arbitrage …
Persistent link: https://www.econbiz.de/10012958972
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 chosen market, (2) to test mean-reverting statistical arbitrage …
Persistent link: https://www.econbiz.de/10014637240
Motivated by the literature on limits-to-arbitrage, we build an equilibrium model of commodity markets in which … associated with producer hedging demand rises when speculative activity reduces. We conclude that limits to financial arbitrage …
Persistent link: https://www.econbiz.de/10013128612
Persistent link: https://www.econbiz.de/10009784180
Motivated by the literature on limits-to-arbitrage, we build an equilibrium model of commodity markets in which … associated with producer hedging demand rises when speculative activity reduces. We conclude that limits to financial arbitrage …
Persistent link: https://www.econbiz.de/10012461784
Persistent link: https://www.econbiz.de/10012523334
Motivated by the literature on limits-to-arbitrage, we build an equilibrium model of commodity markets in which … associated with producer hedging demand rises when speculative activity reduces. We conclude that limits to financial arbitrage …
Persistent link: https://www.econbiz.de/10013076382