{"id":{"repo_id":"mit","oai_identifier":"oai:dspace.mit.edu:1721.1/90233"},"canonical_url":"https://search.dev.ndltd.org/etd/mit/oai:dspace.mit.edu:1721.1/90233","repository":{"repo_id":"mit","name":"MIT","base_url":"https://dspace.mit.edu/oai/request"},"display":{"title":"Risks And returns Of fixed income arbitrage strategies in varying economic environments : a model based on empirical considerations","abstract":"I propose a discrete time model of financial markets in which an arbitrageur has investment opportunities but faces a number of financial constraints. Investment opportunities arise when the price discrepancy between a pair of similar assets becomes large enough. I propose an innovative way to model the effects of market liquidity and the arbitrage industry's reversion force on a stochastic price discrepancy. I use empirical studies and common literature assumptions to build and calibrate the model. I then run a set of Monte-Carlo simulations to test the model's response to the risks and returns of a number of arbitrage strategies in varying economic conditions. The model's results are in line with a number of theories in the existing literature, and specifically confirm the role of the arbitrageur as a liquidity provider in disturbed market environments.","abstract_html":"I propose a discrete time model of financial markets in which an arbitrageur has investment opportunities but faces a number of financial constraints. Investment opportunities arise when the price discrepancy between a pair of similar assets becomes large enough. I propose an innovative way to model the effects of market liquidity and the arbitrage industry's reversion force on a stochastic price discrepancy. I use empirical studies and common literature assumptions to build and calibrate the model. I then run a set of Monte-Carlo simulations to test the model's response to the risks and returns of a number of arbitrage strategies in varying economic conditions. The model's results are in line with a number of theories in the existing literature, and specifically confirm the role of the arbitrageur as a liquidity provider in disturbed market environments.","abstract_has_math":false,"creators":["Beunardeau, Roland"],"institution":"Massachusetts Institute of Technology","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":"Sloan School of Management.","school":null,"contributors":[],"advisors":["Hui Chen."],"committee_chairs":[],"committee_members":[],"year":2014,"date_issued":"2014","date_published":"2014","updated_at":"2026-07-22T22:21:24Z","subjects":["Sloan School of Management."],"languages":["eng"],"rights":["M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission."],"rights_urls":["http://dspace.mit.edu/handle/1721.1/7582"],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/1721.1/90233","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Hui Chen."]},{"key":"dc:contributor.department","label":"Department","values":["Sloan School of Management."]},{"key":"dc:contributor.other","label":"Dc Contributor Other","values":["Sloan School of Management."]},{"key":"dc:creator","label":"Author","values":["Beunardeau, Roland"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2014-09-19T21:47:36Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2014-09-19T21:47:36Z"]},{"key":"dc:date.issued","label":"Date","values":["2014"]},{"key":"dc:publisher","label":"Institution","values":["Massachusetts Institute of Technology"]},{"key":"dc:type","label":"Dc Type","values":["Thesis"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Sloan School of Management."]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]},{"key":"dc:rights","label":"Dc Rights","values":["M.I.T. theses are protected by copyright. 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Investment opportunities arise when the price discrepancy between a pair of similar assets becomes large enough. I propose an innovative way to model the effects of market liquidity and the arbitrage industry's reversion force on a stochastic price discrepancy. I use empirical studies and common literature assumptions to build and calibrate the model. I then run a set of Monte-Carlo simulations to test the model's response to the risks and returns of a number of arbitrage strategies in varying economic conditions. The model's results are in line with a number of theories in the existing literature, and specifically confirm the role of the arbitrageur as a liquidity provider in disturbed market environments."]},{"key":"dc:description.degree","label":"Dc Description Degree","values":["S.M. in Management Studies"]},{"key":"dc:title","label":"Title","values":["Risks And returns Of fixed income arbitrage strategies in varying economic environments : a model based on empirical considerations"]}]}],"canonical_facts":{"dc:contributor.advisor":["Hui Chen."],"dc:contributor.department":["Sloan School of Management."],"dc:contributor.other":["Sloan School of Management."],"dc:creator":["Beunardeau, Roland"],"dc:date.accessioned":["2014-09-19T21:47:36Z"],"dc:date.available":["2014-09-19T21:47:36Z"],"dc:date.issued":["2014"],"dc:description":["Thesis: S.M. in Management Studies, Massachusetts Institute of Technology, Sloan School of Management, 2014.","Cataloged from PDF version of thesis.","Includes bibliographical references (pages 164-165)."],"dc:description.abstract":["I propose a discrete time model of financial markets in which an arbitrageur has investment opportunities but faces a number of financial constraints. Investment opportunities arise when the price discrepancy between a pair of similar assets becomes large enough. I propose an innovative way to model the effects of market liquidity and the arbitrage industry's reversion force on a stochastic price discrepancy. I use empirical studies and common literature assumptions to build and calibrate the model. I then run a set of Monte-Carlo simulations to test the model's response to the risks and returns of a number of arbitrage strategies in varying economic conditions. The model's results are in line with a number of theories in the existing literature, and specifically confirm the role of the arbitrageur as a liquidity provider in disturbed market environments."],"dc:description.degree":["S.M. in Management Studies"],"dc:identifier.uri":["http://hdl.handle.net/1721.1/90233"],"dc:language.iso":["eng"],"dc:publisher":["Massachusetts Institute of Technology"],"dc:rights":["M.I.T. theses are protected by copyright. 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