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Arbitrage in foreign exchange markets within the context of a transactional algebra
Apreda, Rodolfo - 2005
This paper sets forth the foundations for a transactional approach for the performance of arbitrage in foreign exchange … markets. Firstly, we review both the standard model of financial arbitrage and the so-called covered-interest arbitrage … expand on its main tools of analysis, namely differential rates, residual information sets, arbitrage gaps and transaction …
Persistent link: https://www.econbiz.de/10010323288
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The law of one price : a case study
Haskel, Jonathan; Wolf, Holger C. - 2001
We use retail transaction prices for a multinational retailer to examine the extent and permanence of violations of the law of one price (LOOP). For identical products, we find typical deviations of twenty to fifty percent, though there is muted evidence for convergence over time. Such...
Persistent link: https://www.econbiz.de/10011398034
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Lock! : risk-free arbitrage in the Japanese racetrack betting market
Ashiya, Masahiro - In: Journal of sports economics 16 (2015) 3, pp. 322-330
Persistent link: https://www.econbiz.de/10010515959
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The disappearance of momentum
Hwang, Soosung; Rubesam, Alexandre - In: The European journal of finance 21 (2015) 7/9, pp. 584-607
Persistent link: https://www.econbiz.de/10011301218
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Information spillover, profit opportunities, and return deviations analysis : the case of cross-listed BHP Billiton
Su, Roger; Yi, Ronghua; Hooper, Keith; Dutta, Amitabh - In: International journal of business and economics 12 (2013) 2, pp. 155-170
Persistent link: https://www.econbiz.de/10010236039
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Direct and indirect effects of index ETFs on spot-futures pricing and liquidity : evidence from the CAC 40 index
Deville, Laurent; Gresse, Carole; Séverac, Béatrice de - In: European financial management : the journal of the … 20 (2014) 2, pp. 352-373
Persistent link: https://www.econbiz.de/10010350999
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Leveraged ETF options implied volatility paradox : a statistical study
Härdle, Wolfgang; Nasekin, Sergey; Hong, Zhiwu - 2016
, even after moneyness scaling has been performed. This presents possible arbitrage opportunities on the (L)ETF market which … can be exploited by traders. We build possible arbitrage strategies by constructing portfolios with LETF shares and …
Persistent link: https://www.econbiz.de/10011437891
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Cloud computing spot pricing dynamics : latency and limits to arbitrage
Cheng, Hsing Kenneth; Li, Zhi; Naranjo, Andy - In: Information systems research : ISR 27 (2016) 1, pp. 145-165
Persistent link: https://www.econbiz.de/10011460166
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R 2 and idiosyncratic risk are not interchangeable
Li, Bin; Rajgopal, Shivaram; Venkatachalam, Mohan - In: The accounting review : a publication of the American … 89 (2014) 6, pp. 2261-2295
Persistent link: https://www.econbiz.de/10010469131
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Price discovery in Brazilian FX markets
Garcia, Márcio Gomes Pinto; Medeiros, Marcelo C.; … - 2014
Brazilian Foreign Exchange (FX) markets have a unique structure: most trades are conducted in the derivatives (futures) market. We study price discovery in the FX markets in Brazil and indicate which market (spot or futures) adjusts more quickly to the arrival of new information. We find that...
Persistent link: https://www.econbiz.de/10010402141