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analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and the derivatives (CDS …
Persistent link: https://www.econbiz.de/10009650642
This paper develops a model of speculative trading in a large economy with a continuum of investors. In our model the investors are assumed to have diverse beliefs which are rational in the sense of being compatible with observed data. We demonstrate the existence of price amplification effects...
Persistent link: https://www.econbiz.de/10005753371
to increases in open interest positions in the corn futures markets, indicating that active arbitrage activity takes …
Persistent link: https://www.econbiz.de/10009131099
to increases in open interest positions in the corn futures markets, indicating that active arbitrage activity takes …
Persistent link: https://www.econbiz.de/10009141348
The proposition that a relatively new technology such as a differential evolutionary algorithm (DEA) can violate the weak form of the efficient market hypothesis is tested using daily data from the Australian share market from 2000 until 2008. An option trading strategy based on forecasts from a...
Persistent link: https://www.econbiz.de/10010866851
Development, the world population has grown by more than it was in the time of Adam Smith. Oil consumption has increased by 40 … - consumption and saving - has grown faster than the global population. Why does the world not adapt to the boundary conditions of …
Persistent link: https://www.econbiz.de/10010739123
The fact that all arbitrage opportunities are exploited is a fundamental assumption of option pricing theory. Empirical … and experimental studies of investment decisions, however, found that arbitrage is not completely exploited by individuals … types are evaluated separately. An open question, however, is whether unexploited arbitrage opportunities will also be …
Persistent link: https://www.econbiz.de/10011187167
to increases in open interest positions in the corn futures markets, indicating that active arbitrage activity takes …
Persistent link: https://www.econbiz.de/10009643472
for the annuity puzzle, arbitrage between the annuity and life insurance markets, and speculation on expected longevity …
Persistent link: https://www.econbiz.de/10010937356
this result for the annuity puzzle, arbitrage between the annuity and life insurance markets, and speculation on expected …
Persistent link: https://www.econbiz.de/10011264495