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Interest rates sensitivity arbitrage : theory and practical assesment for financial market trading

Stadnik, Bohumil - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 12-23

Purpose - Nowadays popular algorithmic trading uses many strategies which are algoritmizable and promise profitability. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known as convexity arbitrage) in financial praxis. This...

Persistent link: https://www.econbiz.de/10012695328

Merger Arbitrage and Idiosyncratic Risk

Shepherd, Shane D. - 2016

The practice of merger arbitrage is one of the more popular and profitable strategies employed by many hedge funds. At its core, the strategy is one that earns an excess return for the assumption of a specified risk. Merger arbs purchase shares of a company targeted for acquisition after the...

Persistent link: https://www.econbiz.de/10013009101

Chapter 10 Arbitrage, state prices and portfolio theory

Dybvig, Philip H.; Ross, Stephen A. - 2003

preferences, and solving them for probabilities gives us beliefs. We look at two popular asset pricing models, the CAPM and the … APT, as well as complete-markets pricing. In the case of the CAPM, the first-order conditions link nicely to the … traditional measures of portfolio performance. Further conceptual results include aggregation and mutual fund separation theory …

Persistent link: https://www.econbiz.de/10014023861

Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong

Peeters, Bas; Dert, Cees; Lucas, André - 2003

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the limit of large portfolio size is substantially different...

Persistent link: https://www.econbiz.de/10011334345

Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios

Pesaran, M. Hashem; Smith, Ron - 2021

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …

Persistent link: https://www.econbiz.de/10012499632

Common Risk Factors in the Returns on Cryptocurrencies

Liu, Weiyi - 2019

This paper identifies three common risk factors in the returns on cryptocurrencies, which are related to cryptocurrency market return, market cap (size) and momentum of cryptocurrencies. Using the empirical data of cryptocurrencies, we find strong evidence that there are anomalous returns that...

Persistent link: https://www.econbiz.de/10012871481

High-Frequency Arbitrage and Market Illiquidity

Moise, Claudia E. - 2021

During times of market stress, arbitrage capital cannot be timely deployed, and assets trade away from fundamentals. This gives rise to transitory price volatility, a latent factor that signals difficulties in the market-making process. I propose a market-wide illiquidity measure based on SPY's...

Persistent link: https://www.econbiz.de/10013249955

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

Multi-currency (Risky) Sovereign Bonds Arbitrage

Yordanov, Vilimir - 2018

Sovereigns are active issuers both of foreign and domestic debt. The former, composed mainly of internationally traded hard currency denominated Eurobonds, serves as a direct benchmark for the creditworthiness of the country. The latter, represented by local treasuries, although considered a...

Persistent link: https://www.econbiz.de/10012938247

Arbitrage pricing theory

Huberman, Gur - 2005

Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one …

Persistent link: https://www.econbiz.de/10003085740