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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
We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect …://ssrn.com/abstract=3245641. Using empirical data, we identify the cross-section of cryptoassets for which this altcoin-Bitcoin arbitrage alpha is …
Persistent link: https://www.econbiz.de/10012893703
This paper specifies a simulated convertible bond arbitrage portfolio to characterise the risks in convertible bond … arbitrage. For comparison the risk profile of convertible bond arbitrage hedge fund indices at both monthly and daily … frequencies is also examined. Results indicate that convertible bond arbitrage is positively related to default and term structure …
Persistent link: https://www.econbiz.de/10014257559
A "folk theorem" originating, among others, in the work of Stiglitz maintains that competitive equilibria area always or "generically" inefficient (unless contracts directly specify consumption levels as in Prescott and Townsend, thus bypassing trading in anonymous markets). This paper...
Persistent link: https://www.econbiz.de/10013144184
We consider economies with incomplete markets, one good per state, private ownership of initial endowments, a single firm, and no assets other than shares in this firm. In this simple framework, arbitrarily small income effects can render every market equilibrium resulting from some production...
Persistent link: https://www.econbiz.de/10013128113
This paper studies the determinants of inequality in an infnitehorizon general equilibrium model. Missing capital markets decreases motivations for capital accumulation among the poor, while uncertainty about future income leads to precautionary savings. The different returns to saving faced by...
Persistent link: https://www.econbiz.de/10009389998
Persistent link: https://www.econbiz.de/10009656088
When individuals' labor and capital income are subject to uninsurable idiosyncratic risks, should capital and labor be taxed, and if so, how? In a two-period general equilibrium model with production, we derive a decomposition formula of the welfare effects of these taxes into insurance and...
Persistent link: https://www.econbiz.de/10010433962
This paper formally compares the fit of various versions of the incomplete markets model with aggregate uncertainty, relying on a simple Bayesian empirical framework. The models differ in the degree of households' heterogeneity, with a focus on the role of preferences. For every specification,...
Persistent link: https://www.econbiz.de/10010434845
Bei unvollkommenen Märkten und numerairen Vermögen gibt es eine offene Menge an Volkswirtschaften, so dass die Gleichgewichtsverteilung durch eine veränderte Anfangsverteilung verbessert werden kann. Dies stärkt das klassische Ergebnis der eingeschränkten Pareto Ineffizienz von...
Persistent link: https://www.econbiz.de/10011411973