Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 241 for “"arbitrage"”.
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Risk arbitrage trading and the characteristics of arbitrage spreads : the Canadian evidence
… Western database, I demonstrate that the average arbitrage spreads of Canadian mergers are significantly higher than those of their American counterparts. The arbitrage spread is defined as the percentage difference between the bid price and market price one day after the initial announcement. I …
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Symbiotic transfer, arbitrage, and equilibrium
We lay a unified foundation for a theory of general equilibrium by proving the existence of an equilibrium for a grand model which covers all the well-known general equilibrium models under the convexity and continuity assumptions. The grand model allows an economy to have an extended list of …
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On optimal arbitrage under constraints
… thesis, we investigate the existence of relative arbitrage opportunities in a Markovian model of a financial market, which consists of a bond and stocks, whose prices evolve like Itô processes. We consider markets where investors are constrained to choose from among a restricted set of investment …
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Optimal Trading Strategies Under Arbitrage
… markets that incorporate the possibility of arbitrage opportunities. The first part demonstrates how explicit formulas for optimal trading strategies in terms of minimal required initial capital can be derived in order to replicate a given terminal wealth in a continuous-time Markovian …
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Statistical arbitrage in South Africa
… investigates the performance of a statistical arbitrage portfolio in the South African equity markets. A portfolio of liquid stock pairs that exhibit cointegration is traded for a ten year period between the years 2003 and 2013. Without transaction costs, the portfolio has an encouraging Sharpe …
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Risk arbitrage in emerging markets
Risk arbitrage is one of the investment strategies commonly employed by hedge funds and financial investment firms. In essence, it constitutes a bet on whether a merger deal is consummated. Several academic studies have found that risk arbitrage trading strategies are able to generate sustainable …
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Geometry and Optimization of Relative Arbitrage
… conditions. These portfolios are called relative arbitrage opportunities. In this thesis we adopt a discrete time, pathwise approach which reveals deep connections with optimal transport, nonparametric statistics and information geometry. Our main object of study is functionally generated …
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A general discrete-time arbitrage theorem
Please read the abstract in the front section of this document
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Risk arbitrage : analysis and trading systems
In this thesis we quantify the risk arbitrage investment process and create trading strategies that generate positive risk-adjusted returns. We use a sample of 895 stock swap mergers, cash mergers, and cash tender offers during 1998-2004Q2. We test the market efficiency hypothesis, and after …
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Pricing and arbitrage in cryptocurrency markets
… from May 4, 2018 to May 9, 2018 we find that arbitrage opportunities exist in 0.03% to 40.38% of five-second intervals depending on the specific cryptocurrency and exchanges considered. Analysis of the signed trading volume shows that trading behavior differs in the presence of these arbitrage …
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Limits to Arbitrage and Commodity Index Investment
… strategies is decreasing in the amount of arbitrage capital employed in the futures markets and increasing in the size of index funds' investment relative to the total size of futures markets. Due to the price impact, index investors forwent on average 3.6% annual return, a 48% higher …
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Statistical arbitrage in South African equity markets
… implements a model driven statistical arbitrage strategy that uses the principal components from Principal Component Analysis as factors in a multi-factor stock model, to isolate the idiosyncratic component of returns, which is then modelled as an Ornstein Uhlenbeck process. The …
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No-Arbitrage Option Pricing with Neural SDEs
Neural stochastic differential equations (SDEs) represent a significant advancement in the field of machine learning by combining the power of neural networks and SDEs, two influential modelling approaches. SDEs are used to model systems that exhibit randomness or uncertainty and are defined by a …
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Statistical arbitrage in South African financial markets
Engle and Granger’s (1987) co-integrating framework provides a useful method of analyzing the dynamics of non-stationary data in both the short and long run. However, despite its popularity in various areas of research, the application of co-integration to financial data has been limited. This …
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Testing of an Arbitrage-free Volatility Surface
… mixture of standard CarrPelts surfaces, is an arbitrage-free parameterization of an implied volatility surface proposed by Antonov, Konikov and Spector (2019). This dissertation aims to investigate the additional benefits provided by using the Ensemble Carr-Pelts surface as opposed to the …
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Robust option pricing : An [epsilon]-arbitrage approach
… portfolio which minimizes the worst case arbitrage possible for a given uncertainty set on underlying asset returns. We construct corresponding uncertainty sets based on different levels of risk aversion of investors and make no assumption on specific probabilistic distributions of asset …
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Research and Development of risk arbitrage trading systems
The risk arbitrage investment process involves betting on the outcome of announced mergers and acquisitions. We analyzed a sample of 1309 stock and cash mergers from 1996 to 2004 Q2 and developed insights into the risk arbitrage process. We found share price reactions for both the acquirer and …
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ARBITRAGE STRATEGIES IN PERPETUAL FUTURES AND STOCK INDEX FUTURES
This thesis examines two aspects of arbitrage in financial markets. The first part analyzes arbitrage in perpetual futures, which track underlying prices through a funding swap mechanism. We show that the clamping function embedded in the mechanism—previously overlooked in the literature—creates …
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