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Non-Equilibrium Skewness, Market Crises, and Option Pricing : Non-Linear Langevin Model of Markets with Supersymmetry
Halperin, Igor - 2021
This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM)...
Persistent link: https://www.econbiz.de/10013251128
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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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Accrual mispricing : evidence from European sovereign debt crisis
Gonçalves, Tiago; Gaio, Cristina; Lélis, Carlos - In: Research in international business and finance 52 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012543282
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Rare Macro Disasters in Credit and Option Markets
Du, Du - 2012
We show that the slight possibility of a macroeconomic disaster of moderate magnitude can explain important features across credit, option, and equity markets. Our consumption-based equilibrium model captures the empirical level and volatility of credit spreads, generates a flexible credit term...
Persistent link: https://www.econbiz.de/10013109094
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An Examination of the Continuous-Time Dynamics of International Volatility Indices Amid the Recent Market Turmoil
Li, Minqiang - 2013
Volatility indices have been designed for many markets as gauges to measure investors' fear of market crash. The recent market turmoil has produced historically high volatility levels, in some cases around four times higher than their previous average levels. We take a look at the behavior of...
Persistent link: https://www.econbiz.de/10013082816
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Systematic risk of CDOs and CDO arbitrage
Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - 2009
"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the … present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing …. -- Collateralized debt obligations (CDO) ; arbitrage CDOs ; credit rating ; expected loss profile ; bond representation ; systematic …
Persistent link: https://www.econbiz.de/10003891104
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Market timing and statistical arbitrage : which market timing opportunities arise from equity price busts coinciding with recessions? : the Swedish stock market in the financial cr...
Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 53-81
timing opportunity resulting in a maximum statistical arbitrage opportunity corresponding to a profit of 19% p.a. with an … as the benchmark. -- statistical arbitrage ; financial crises ; equity price busts ; cointegration …
Persistent link: https://www.econbiz.de/10009241516
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Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis
Hernández, Juan R. - 2014
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
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Arbitrage Crashes : Slow-Moving Capital or Market Segmentation?
Dick-Nielsen, Jens - 2020
Slow-moving capital cannot fully explain the 2005 and 2008 arbitrage crashes in theconvertible bond market. Faced with …
Persistent link: https://www.econbiz.de/10012856844
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Best friend or worst enemy? : dynamics and multiple equilibria with financial arbitrage, production and collateral constraints
Zhang, Quan - 2017 - Last update: March 23, 2017
We develop a tractable model to study the macroeconomic impacts of limited arbitrage by linking arbitrage activities … arbitrage failures and recessions. Collateralization adds extra value to real-sector investments, and ultimately helps boost …
Persistent link: https://www.econbiz.de/10011626467