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The exchange rate effect of multi-currency risk arbitrage

Hau, Harald - 2012

and fundamentals. Speculation ; Limited Arbitrage ; Hedging ; Exchange Rate Disconnect …

Persistent link: https://www.econbiz.de/10009558406

Genetic Algorithm for Arbitrage with More than Three Currencies

Fernandez-Perez, Adrian - 2012

We develop a genetic algorithm that is able to find the optimal sequence of exchange rates that maximizes arbitrage … profits with more than three currencies, being both the triangular arbitrage and the direct exchange rate two special cases of … the period October 2000-April 2012. Our results also suggest that the arbitrage profits increased just after the subprime …

Persistent link: https://www.econbiz.de/10013103671

The Impact of Latency Sensitive Trading on High Frequency Arbitrage Opportunities

Frino, Alex - 2016

. This is especially true for the profits from riskless arbitrage. Yet, there is conflicting evidence in the financial … economic literature over whether high frequency trading (HFT) profits, in general, (Baron et al [2012]) and arbitrage profits … firms in being faster if arbitrage profit opportunities persist (in the absence of limits to arbitrage). There are several …

Persistent link: https://www.econbiz.de/10013000021

Negative conversion premium

Huang, Zhijian; Xu, Li - In: The Journal of finance and data science : JFDS 7 (2021), pp. 1-21

We document frequent occurrences of negative conversion premium (NCP) events in the Chinese convertible bond market, when the bond is convertible and the underlying stock can be freely sold. This implies that when an NCP event occurs, existing stock holders can earn a riskless profit through a...

Persistent link: https://www.econbiz.de/10013162647

The Exchange Rate Effect of Multi-Currency Risk Arbitrage

Hau, Harald - 2009

This paper documents how currency speculators trade when international capital flows generate predictable exchange rate movements. The redefinition of the MSCI world equity index in December 2000 provides an ideal natural experiment identifying exogenous capital flows of index tracking equity...

Persistent link: https://www.econbiz.de/10013155168

Hedge Funds as International Liquidity Providers : Evidence from Convertible Bond Arbitrage in Canada

Gatev, Evan - 2020

interest after issuance as a proxy for convertible bond arbitrage activity, the results suggest that there is limited positive …

Persistent link: https://www.econbiz.de/10012842541

Limits of Arbitrage under the Microscope : Evidence from Detailed Hedge Fund Transaction Data

von Beschwitz, Bastian - 2017

We exploit detailed transaction and position data for a sample of long-short equity hedge funds to document new facts about the trading activity of sophisticated investors. We find that the initiation of both long and short positions is associated with significant abnormal returns, suggesting...

Persistent link: https://www.econbiz.de/10012956100

Arbitrage Costs and the Persistent Non-Zero CDS-Bond Basis : Evidence from Intraday Euro Area Sovereign Debt Markets

Gyntelberg, Jacob - 2017

makes arbitrage trades riskier, leading arbitrageurs to demand a higher compensation for increased risk. Our findings help …

Persistent link: https://www.econbiz.de/10012957749

A Market Neutral Statistical Arbitrage Trading Model

Larsson, Erik - 2017

The momentum effect is a systematic inefficiency in the market that can be exploited by a trading strategy. This conclusion is supported by theoretical and empirical evidence. But the academic research that tries to quantify the performance of this kind of strategy often relies on a methodology...

Persistent link: https://www.econbiz.de/10012962784

Arbitrage Potential in the Eurex Order Book – Evidence from the Financial Crisis in 2008

Schober, Peter - 2019

arbitrage potential we use an adapted version of Stoll's put-call parity model. By calculating deviations from the theoretical …

Persistent link: https://www.econbiz.de/10012904330