Keyword: arbitrage

Found 6 papers in total
A moment-matching method to generate arbitrage-free scenarios
A moment-matching method to generate arbitrage-free scenarios
2015,
We propose a new moment‐matching method to build scenario trees that rule out...
Market Madness? The Case of Mad Money
Market Madness? The Case of Mad Money
2012,
We use the popular television show Mad Money , hosted by Jim Cramer, to test theories...
A Transaction‐Level Analysis of Spatial Arbitrage: The Role of Habit, Attention, and Electronic Trading
A Transaction‐Level Analysis of Spatial Arbitrage: The Role of Habit, Attention, and Electronic Trading
2012,
Despite the central role of arbitrage in finance and economic theory, there is limited...
Who Drove and Burst the Tech Bubble?
Who Drove and Burst the Tech Bubble?
2011,
From 1997 to March 2000, as technology stocks rose more than five‐fold,...
Efficiency analysis, shortage functions, arbitrage, and martingales
Efficiency analysis, shortage functions, arbitrage, and martingales
2011,
This paper shows that standard tools of efficiency analysis, directional distance...
Testing the APT with the maximum Sharpe Ratio of extracted factors
Testing the APT with the maximum Sharpe Ratio of extracted factors
2009,
This paper develops a test of the asymptotic arbitrage pricing theory (APT) via the...
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