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Modèles statistiques de valorisation par arbitrage

Clément, Emmanuelle; Gouriéroux, Christian; Monfort, Alain - 1993

Persistent link: https://www.econbiz.de/10000856380

Prevision de mesures de prix contingents

Clément, Emmanuelle; Gouriéroux, Christian; Monfort, Alain - 1993

Persistent link: https://www.econbiz.de/10000869422

Effets "volume" volatilité et transmissions internationales sur les marchés boursiers dans le G5

Avouyi-Dovi, Sanvi; Jondeau, Eric; Lai-Tong, Charles - 1997

Persistent link: https://www.econbiz.de/10000958857

The capacity of trading strategies

Landier, Augustin; Simon, Guillaume; Thesmar, David - 2015

Due to non-linear transaction costs, the fi nancial performance of a trading strategy decreaseswith portfolio size. Using a dynamic trading model a la Garleanu and Pedersen (2013), wederive closed-form formulas for the performance-to-scale frontier reached by competitive tradersendowed with a...

Persistent link: https://www.econbiz.de/10011327200

Toxic arbitrage

Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - 2015

Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they … expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities … triangular arbitrage. As predicted, illiquidity is higher on days when the fraction of toxic arbitrage opportunities and …

Persistent link: https://www.econbiz.de/10010499534