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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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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
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An Elementary Exposition of the No Strong Arbitrage Principle for Financial Markets
Becker, Robert Allen - 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
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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
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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
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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
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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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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
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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
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The existence of equilibrium in a financial market with transaction costs
Jin, Xing (contributor); Milne, Frank (contributor) - 1999
Persistent link: https://www.econbiz.de/10003780915