Narrow search
Showing 1 - 10 of 646,829
Cover Image
The Profitability of Lead-Lag Arbitrage at High-Frequency
Poutré, Cédric; Dionne, Georges; yergeau, gabriel - 2022
from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead … arbitrage opportunities. The framework is then evaluated on six months of DAX 30 cross-listed stocks’ LOB data obtained from … three European exchanges in 2013: Xetra, Chi-X, and BATS. We show that a high-frequency trader can profit from lead …
Persistent link: https://www.econbiz.de/10014239339
Cover Image
The disappearing profitability of volatility-managed equity factors
Angelidis, Timotheos; Tessaromatis, Nikolaos P. - In: Journal of financial markets 65 (2023), pp. 1-27
Persistent link: https://www.econbiz.de/10014466364
Cover Image
Industrial profits, arbitrage opportunities and efficiency: some evidence
Berglund, Tom; Wahlroos, Björn - 1982
Persistent link: https://www.econbiz.de/10003488812
Cover Image
No-arbitrage principle in conic finance
Vazifedan, Mehdi; Zhu, Qiji Jim - In: Risks : open access journal 8 (2020) 2/66, pp. 1-34
In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …
Persistent link: https://www.econbiz.de/10012293018
Cover Image
Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
Cordero, Fernando; Perez-Ostafe, Lavinia - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-26
Persistent link: https://www.econbiz.de/10011403853
Cover Image
Arbitrage, contract design, and market structure in Bitcoin futures markets
De Blasis, Riccardo; Webb, Alexander - In: The journal of futures markets 42 (2022) 3, pp. 492-524
Persistent link: https://www.econbiz.de/10012817947
Cover Image
Arbitrageur behavior in sentiment-driven asset-pricing
Kilic, Erdem; Göksel, Oğuzhan - In: Annals of financial economics 16 (2021) 3, pp. 1-37
Persistent link: https://www.econbiz.de/10013185459
Cover Image
An elementary exposition of the no strong arbitrage principle for financial markets
Becker, Robert Allen - 2017
Persistent link: https://www.econbiz.de/10011688412
Cover Image
Sources of financial synchronism : arbitrage theory and the promise of risk-free profit
Langenohl, Andreas - In: Finance and society 4 (2018) 1, pp. 26-40
traced back to certain developments in economic theory since the so-called "marginalist revolution", which enabled the …
Persistent link: https://www.econbiz.de/10012034585
Cover Image
No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542