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Limits to arbitrage in markets with stochastic settlement latency

Hautsch, Nikolaus; Scheuch, Christoph; Voigt, Stefan - 2018

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

Altcoin-Bitcoin Arbitrage

Kakushadze, Zura - 2019

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

Convertible Bond Arbitrage : Risk and Return

Hutchinson, Mark C.; Gallagher, Liam - 2023

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

Moral Hazard and Efficiency in General Equilibrium with Anonymous Trading

Acemoglu, Daron - 2010

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

Small Income Effects Destroy the Constrained Efficiency of All Equilibria in Finance Economies with Production

Dierker, Egbert - 2011

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

Polarization, risk and welfare in general equilibrium

Modalsli, Jørgen - 2011 - Publisert 20. des. 2011 11:38

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

The inefficiency of price taking behavior in multiperiod production economies with incomplete markets

Dierker, Egbert - 2012

Persistent link: https://www.econbiz.de/10009656088

Constrained inefficiency and optimal taxation with uninsurable risks

Gottardi, Piero; Kajii, Atsushi; Nakajima, Tomoyuki - 2014

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

Heterogeneity in macroeconomics and the minimal econometricinterpretation for model comparison

Cozzi, Marco - 2014

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

Endowment redistribution and Pareto improvements in GEI economies

Mendolicchio, Concetta; Pietra, Tito - 2016

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