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A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance
Focardi, Sergio M.; Fabozzi, Frank J.; Mitov, Ivan K. - In: Journal of banking & finance 65 (2016), pp. 134-155
Persistent link: https://www.econbiz.de/10011634338
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Learning from arbitrage
Boisdeffre, Lionel de - In: Economic theory bulletin 4 (2016) 1, pp. 111-119
Persistent link: https://www.econbiz.de/10011582552
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Do arbitrage-free prices come from utility maximization?
Siorpaes, Pietro - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 602-616
Persistent link: https://www.econbiz.de/10011583781
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Viability and arbitrage under Knightian Uncertainty
Burzoni, M.; Riedel, Florian; Soner, Halil Mete - 2017
, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing …
Persistent link: https://www.econbiz.de/10011697263
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Pointwise arbitrage pricing theory in discrete time
Burzoni, Matteo; Frittelli, Marco; Hou, Zhaoxu; Maggis, … - In: Mathematics of operations research 44 (2019) 3, pp. 1034-1057
Persistent link: https://www.econbiz.de/10012105893
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Arbitrage free dispersion
Orlowski, Piotr; Sali, Andras; Trojani, Fabio - 2018 - This version: August 10, 2018
We develop a theory of arbitrage-free dispersion (AFD) that characterizes the testable restrictions of asset pricing …
Persistent link: https://www.econbiz.de/10012003245
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The effect of confidence in valuation estimates on arbitrager behavior and market prices
Murphy, Austin; Fu, Liang - In: The journal of behavioral finance : a publication of … 19 (2018) 3, pp. 359-363
Persistent link: https://www.econbiz.de/10012009722
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Limits to arbitrage in markets with stochastic settlement latency
Hautsch, Nikolaus; Scheuch, Christoph; Voigt, Stefan - 2018
limits to arbitrage. We derive theoretical arbitrage boundaries under general assumptions and show that they increase with …, we estimate arbitrage boundaries due to settlement latency of on average 124 basis points, covering 88% of the observed …
Persistent link: https://www.econbiz.de/10011944603
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The analysis of the arbitrage pricing model on the stock return : a case of Athens stock market
Khudoykulov, Khurshid - In: American journal of finance and accounting 5 (2017) 1, pp. 51-63
Persistent link: https://www.econbiz.de/10011834005
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Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets
Criens, David - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-41
Persistent link: https://www.econbiz.de/10011845940