Concept

Arbitrage statistique

Publications associées (13)

Conditional Synthetic Financial Time Series with Generative Adversarial Networks

The creation of high fidelity synthetic data has long been an important goal in machine learning, particularly in fields like finance where the lack of available training and test data make it impossible to utilize many of the deep learning techniques whic ...

2022

The CDS-bond basis

Pierre Collin Dufresne

We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...

WILEY2019

Why Don't All Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust-Preferred Securities

Rüdiger Fahlenbrach

We investigate why only some banks use regulatory arbitrage. We predict that banks wanting to be riskier than allowed by capital regulations (constrained banks) use regulatory arbitrage, while others do not. We find support for this hypothesis using trust- ...

Oxford Univ Press Inc2016

Asset pricing with arbitrage activity

Julien Hugonnier

We study an economy populated by three groups of myopic agents: constrained agents subject to a portfolio constraint that limits their risk taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to a ...

Elsevier2015

Arbitraging Intraday Wholesale Energy Market Prices With Aggregations of Thermostatic Loads

Maryam Kamgarpour, John Lygeros

We investigate the potential for aggregations of residential thermostatically controlled loads (TCLs), such as air conditioners, to arbitrage intraday wholesale electricity market prices via non-disruptive load control. We present two arbitrage approaches: ...

2015

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

Martin Larsson

When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has consequences for arbitrage ...

Inst Mathematical Statistics2014

An Extension of ETF Arbitrage to Sector Trading Using ANN

Utkarsh Upadhyay, Ramnik Arora

We design and deploy a trading strategy that mirrors the Exchange Traded Fund (ETF) arbitrage technique for sector trading. Artiﬁcial Neural Networks (ANNs) are used to capture pricing relationships within a sector using intra-day trade data. The fair pric ...

2009

Quasisteady and steady states in global gyrokinetic particle-in-cell simulations

Laurent Villard, Alberto Bottino, Sébastien Jolliet, Ben McMillan, Paolo Angelino, Thibaut Vernay

Collisionless delta-f gyrokinetic particle-in-cell simulations suffer from the entropy paradox, in which the entropy grows linearly in time while low-order moments are saturated. As a consequence, these simulations do not reach a steady state and are unsui ...

American Institute of Physics2009

Quasi-steady and steady states in global gyrokinetic particle-in-cell simulations

Laurent Villard, Alberto Bottino, Sébastien Jolliet, Ben McMillan, Paolo Angelino, Thibaut Vernay

2009

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