Similar Search Results

The Inverted Parabola World of Classical Quantitative Finance : Non-Equilibrium and Non-Perturbative Finance Perspective

Halperin, Igor - 2020

Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a negative mass oscillator with a noise. This paper...

Persistent link: https://www.econbiz.de/10012826182

An Elementary Exposition of the No Strong Arbitrage Principle for Financial Markets

Becker, Robert A. - 2017

A Linear Pricing Rule is established for the No Strong Arbitrage Principle (NSAP) in a finite state, single period …

Persistent link: https://www.econbiz.de/10012953768

Interest rates sensitivity arbitrage : theory and practical assesment for financial market trading

Stadnik, Bohumil - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 12-23

. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known … as convexity arbitrage) in financial praxis. This arbitrage is sparsely described in literature and an assessment about … its practical success is missing. Research methodology - Methodology steps: mathematical definition of given arbitrage …

Persistent link: https://www.econbiz.de/10012695328

Market Microstructure Invariance : A Dynamic Equilibrium Model

Kyle, Albert S. - 2020

We derive invariance relationships in a dynamic, infinite-horizon, equilibrium model of adverse selection with risk-neutral informed traders, noise traders, market makers, and with endogenous information production. The model solution depends on two state variables: stock price and...

Persistent link: https://www.econbiz.de/10012850268

Economic and Financial Transactions Govern Business Cycles

Olkhov, Victor - 2019

Problem/Relevance - This paper presents new description of the business cycles that for decades remain as relevant and important economic problem. Research Objective/Questions - We propose that econometrics can provide sufficient data for assessments of risk ratings for almost all economic...

Persistent link: https://www.econbiz.de/10012866909

Economics-based financial bubbles (and why they imply strict local martingales)

Herdegen, Martin; Schweizer, Martin - 2015

shows that under a weak absence-of-arbitrage assumption (basically NUPBR), a market has a strong bubble if and only if in …

Persistent link: https://www.econbiz.de/10011293465

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

Why is the accrual anomaly not arbitraged away? : the role of idiosyncratic risk and transaction costs

Mashruwala, Christina; Rajgopal, Shivaram; Shevlin, Terry - In: Journal of accounting & economics 42 (2006) 1/2, pp. 3-33

Persistent link: https://www.econbiz.de/10003365240

Costly arbitrage and the myth of idiosyncratic risk

Pontiff, Jeffrey - In: Journal of accounting & economics 42 (2006) 1/2, pp. 35-52

Persistent link: https://www.econbiz.de/10003365242

Navigating the factor zoo around the world : an institutional investor perspective

Bartram, Söhnke M.; Lohre, Harald; Pope, Peter F.; … - In: Journal of business economics : JBE 91 (2021) 5, pp. 655-703

Persistent link: https://www.econbiz.de/10012588809

1
2
3
4
5
6
7
8
9
10
Next
Last