exploit government guarantees, arbitrage regulatory risk weights, and access central-bank funding, we find that this carry …

Authorized participants’ (APs) arbitrage in primary markets for ETF shares plays a key role in limiting dislocation in … played a significant role in weakening this arbitrage during the dash-for-cash episode of March 2020. The strength of the … arbitrage relationship linking price signals to primary market activity weakened by 77 percent in ETFs related to more leveraged …

This article aims at testing empirically the performance persistence of convertible arbitrage hedge funds. The overall … dataset. It includes convertible arbitrage hedge funds for the period 1990 to 2003 …

This article aims at testing empirically the performance persistence of fixed income arbitrage hedge funds. These funds … engage principally in arbitrage strategies in the global corporate debt securities markets taking advantage of mispricing …. Fixed income arbitrage funds take advantage of mispricing between fixed – income securities. Another strategy is yield curve …

The no Butterfly arbitrage domain of Gatheral SVI 5-parameters formula for the volatility smile has been recently …

Statistical arbitrage identifies and exploits temporal price differences between similar assets. We propose a unifying … conceptual framework for statistical arbitrage and develop a novel deep learning solution, which finds commonality and time …-series patterns from large panels in a data-driven and flexible way. First, we construct arbitrage portfolios of similar assets as …

arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders' misperceptions. Such … ‘noise momentum' is an important determinant of the overall arbitrage process. We develop a state-dependent, two-period error …

We examine the relationship between the Samuelson hypothesis and carry arbitrage. The empirical-based Samuelson … related to the Samuelson hypothesis is mixed. The theory-based carry arbitrage is not feasible in many futures markets for a … link between the empirical Samuelson hypothesis and the theoretical carry arbitrage. The degree to which carry arbitrage is …