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Arbitrage pricing theory (APT) : uma aplicação na Bolsa de Valores de São Paulo

Lencione, Maria Angélica Cristino
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
26.74%
O presente trabalho tem como objetivos explicar os retornos do índice da Bolsa de valores de São Paulo, o IBOVESPA, no período após a implantação do Plano Real, iniciando-se por janeiro de 1995 e tínanzando-se em agosto de 1998, através de variáveis macroeconômicas, utilizando-se do ferramental proposto pelo "Arbitrage Pricing Theory", considerando trabalhos realizados no mundo, bem como as especificidades do mercado brasileiro e divulgar a teoria, suas premissas e vantagens à comunidade e ao mercado, a fim de estimular sua utilização, através do uso de variáveis de fácil acesso aos analistas.

The Market for borrowing securities in Brazil

Mota, Lira Rocha de
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
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We report the results of an exploratory data analysis of the Brazilian securities lending market. The analysis is performed over the full historical data set of each individual loan offer and loan contract negotiated between January 2007 and August 2013. We give a quantitative description of volume and loan fee trends and fee dependence on asset characteristics. We also unveil new stylized facts specific to the Brazilian market on market access asymmetries between different types of investors. The emerging picture is that the Brazilian securities lending market is a complex environment with specific frictions and strong asymmetries among players. In particular, we describe a tax arbitrage operation performed by domestic mutual funds which generates a significant distortion in the data. In one such event, we estimate additional aggregate profits of 24.25 million Reais (around 10 million Dollars).

Validação da APT (arbitrage pricing theory) na conjuntura da economia brasileira

Fracasso, Laís Martins
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Trabalho de Conclusão de Curso Formato: application/pdf
Português
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Os modelos de precificação de ativos ganham cada vem mais importância, na medida em que são desenvolvidos e superam as deficiências dos modelos anteriores. Dentro deste contexto, a Arbitrage Pricing Theory (APT) foi desenvolvida como forma de ir além do Capital Asset Pricing Model (CAPM). A fim de verificar se a APT é um substituto adequado, dado como um novo modelo de precificação, este trabalho visou estudar quantos fatores afetariam uma carteira de ações dada no período de janeiro de 1998 a dezembro de 2008. O estudo foi feito através da Análise Fatorial e inclui uma simulação de investimento baseada em diferentes tercis desta carteira, comparando seus retornos com indicadores de mercado, como o Ibovespa e IbrX. Para o período avaliado e com o modelo estatístico utilizado, foram encontrados cinco fatores que explicam o retorno da carteira de ações proposta. Além disso, através da simulação de investimento, foi verificado que o tercil de maior potencial de retorno proporcionou, de fato, um retorno maior que os índices de mercado, porém também proporcionou maior risco.

Estratégia Pairs Trading : combinação de Avaliação Relativa e Arbitragem Estatística

Dallagnol Júnior, Paulo Roberto
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Trabalho de Conclusão de Curso Formato: application/pdf
Português
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A aplicação de técnicas de arbitragem estatística em estratégias pairs trading tem sido objeto de uma quantidade cada vez maior de estudos. Neste trabalho propomos o uso de séries temporais de indicadores fundamentalistas em substituição as séries temporais de preço, tradicionalmente utilizadas para esse tipo de estratégia. Aplicamos testes de cointegração em séries de P/L e P/VPA para identificar pares de ações a serem utilizados em estratégias pairs trading. Tais indicadores foram utilizados também na determinação dos sinais de trade. Uma estratégia baseada apenas em preço foi simulada para possibilitar a comparação com a abordagem tradicional. Baseados em um indicador de rentabilidade apurado dentro da amostra, selecionamos pares de ações para compor três portfólios pairs trading. Testamos 69 ativos negociados na Bovespa, de janeiro de 2009 a Dezembro de 2012. Obtivemos rentabilidade média anual de 10,12% para estratégia de Preço, 4,96% para P/L e 10,86% para P/VPA, Índice de Sharpe de 1,62, 0,68 e 1,51, respectivamente, além de baixa correlação com o mercado.; The application of statistical arbitrage techniques in pairs trading strategies has been subject of an increasing amount of works. In this work we propose the usage of stocks multiples time series to replace price time series...

Contratos de Futuros sobre Taxas de Juro

Silva, Telma da
Fonte: Instituto Politécnico de Lisboa Publicador: Instituto Politécnico de Lisboa
Tipo: Dissertação de Mestrado
Publicado em /12/2012 Português
Relevância na Pesquisa
26.74%
Mestrado em Contabilidade Internacional; As alterações das condições económicas a nível mundial, provocadas por determinados acontecimentos importantes, geram aumentos na incerteza quanto ao desenvolvimento de determinadas variáveis no mercado. Estas situações de incerteza fomentaram a necessidade de criação de ferramentas para a cobertura de riscos na qual os agentes económicos ficam expostos no desenvolvimento das suas actividades. Desde que surgiram os mercados de instrumentos financeiros, que a sua evolução e importância tem aumentado exponencialmente. A sofisticação dos investidores impulsiona o crescimento e a inovação do mercado de derivados. O impacto do aumento/diminuição das taxas de juro e a valorização/desvalorização das moedas, nos mercados, é enorme, e estando presente nos investimentos, financiamentos e nas transacções nacionais e internacionais efectuadas nos mercados, estas variáveis mereceram uma atenção especial, constituindo a base deste estudo. Os contratos de futuros são fundamentais para as decisões empresariais de cobertura de riscos. Podem também servir para acções de especulação e de arbitragem. Este estudo tem como objectivo principal analisar os mercados de futuros...

Mercado de opções na actualidade: estrutura, espectativas, hedge, especulação e arbitragem

Samúdio, Vânia Cristina Leal
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2012 Português
Relevância na Pesquisa
26.74%
Mestrado em Finanças; A “disciplina” é o instrumento financeiro básico nos diferentes mercados. Os seus intervenientes devem ter um acesso igual à informação que lhes permita tomar as melhores decisões e afectação de recursos com vista ao aumento da sua rendibilidade. A actividade nos mercados financeiros deve ser sempre função duma correcta gestão de expectativas que permita a tomada de posições com níveis de risco sempre dependentes dos graus de confiança gerados. O seu desenvolvimento estará, no entanto, subordinado ao retorno da confiança entre os diferentes intervenientes. Os governos foram forçados a intervir no sistema financeiro. A instabilidade criada nos mercados financeiros, fez com que os seus intervenientes tenham passado a utilizar instrumentos mais simples que permitem um desfazer de posições mais rápido em situações de maior dificuldade. A frequência do uso de opções depende do seu grau de complexidade, podendo considerar-se que o seu uso é inversamente proporcional ao seu grau de complexidade, ou seja, as opções mais simples (vanillas) são as mais utilizadas. A maior complexidade das estruturas, permite uma gestão mais dinâmica do risco proporcionando o aproveitamento das oscilações dos preços dos activos subjacentes. No Mercado de Opções...

Nominal and inflation-linked government bonds: An assessment of arbitrage opportunities in UK Gilt Market

Vilas-Boas, João Pinto Teixeira
Fonte: NSBE - UNL Publicador: NSBE - UNL
Tipo: Dissertação de Mestrado
Publicado em /01/2013 Português
Relevância na Pesquisa
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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics; This study is an assessment of the existence of deviations of the Law of One Price in the UK sovereign debt market. UK government issues two types of debt instruments: nominal gilts and inflation-linked (IL) gilts. Constructing a synthetic bond comprising the IL bonds and also inflation-swaps and gilt strips I was able to build a portfolio that pays to investor exactly the same cash-flow as nominal gilts, with the same maturity. I found that the weighted-average mispricing throughout the period of 2006-11 is only £0,155 per £100 notional. Though, if I restrain my analysis to the 2008-09 crisis period, this amount raises to £4,5 per £100 invested. The weighted-average mispricing can reach values of £21 per £100 notional or, if measured in yield terms, 235 basis points. I have also found evidence that available liquidity on the market and increases on index-linked gilts supply do play a significant role on monthly changes of mispricing in the UK market. I concluded that, although the global mispricing is not significant on UK gilt market, every pair of bonds in the sample presented huge and significant arbitrage opportunities in downturn periods.

Machine learning Gaussian short rate

Sousa, João Beleza Teixeira Seixas e
Fonte: Faculdade de Ciências e Tecnologia Publicador: Faculdade de Ciências e Tecnologia
Tipo: Tese de Doutorado
Publicado em //2013 Português
Relevância na Pesquisa
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Dissertação para obtenção do Grau de Doutor em Estatística e Gestão do Risco; The main theme of this thesis is the calibration of a short rate model under the risk neutral measure. The problem of calibrating short rate models arises as most of the popular models have the drawback of not fitting prices observed in the market, in particular, those of the zero coupon bonds that define the current term structure of interest rates. This thesis proposes a risk neutral Gaussian short rate model based on Gaussian processes for machine learning regression using the Vasicek short rate model as prior. The proposed model fits not only the prices that define the current term structure observed in the market but also all past prices. The calibration is done using market observed zero coupon bond prices, exclusively. No other sources of information are needed. This thesis has two parts. The first part contains a set of self-contained finished papers, one already published, another accepted for publication and the others submitted for publication. The second part contains a set of self-contained unsubmitted papers. Although the fundamental work on papers in part two is finished as well, there are some extra work we want to include before submitting them for publication. Part I: - Machine learning Vasicek model calibration with Gaussian processes In this paper we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices...

Compressed air energy storage with waste heat export: An Alberta case study

Safaei, Hossein; Keith, David
Fonte: Elsevier BV Publicador: Elsevier BV
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.74%
Interest in compressed air energy storage (CAES) technology has been renewed driven by the need to manage variability form rapidly growing wind and solar capacity. Distributed CAES (D-CAES) design aims to improve the efficiency of conventional CAES through locating the compressor near concentrated heating loads so capturing additional revenue through sales of compression waste heat. A pipeline transports compressed air to the storage facility and expander, co-located at some distance from the compressor. The economics of CAES are strongly dependant on electricity and gas markets in which they are embedded. As a case study, we evaluated the economics of two hypothetical merchant CAES and D-CAES facilities performing energy arbitrage in Alberta, Canada using market data from 2002 to 2011. The annual profit of the D-CAES plant was $1.3 million more on average at a distance of 50 km between the heat load and air storage sites. Superior economic and environmental performance of D-CAES led to a negative abatement cost of −$40/tCO2e. We performed a suite of sensitivity analyses to evaluate the impact of size of heat load, size of air storage, ratio of expander to compressor size, and length of pipeline on the economic feasibility of D-CAES.

What drives hedge fund returns? : models of flows, autocorrelation, optimal size, limits to arbitrage and fund failures

Getmansky, Mila
Fonte: Massachusetts Institute of Technology Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado Formato: 187 p.; 7200947 bytes; 7200754 bytes; application/pdf; application/pdf
Português
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Hedge funds provide an opportunity for investing with few government regulations and high potential returns. Since 1980 this has lead to the dramatic, 25% annual increase in the number of hedge funds, and with nearly $700 billion managed by hedge funds in 2003. However, high risks associated with hedge fund strategies, competition and limited arbitrage opportunities contributed to an annual attrition rate of 7.10%. In this thesis, models were developed and tested that describe characteristics of fund returns, fund flows, optimal size and the life cycles of hedge funds. The TASS hedge fund database provided by the Tremont Company was used for analysis. In Essay One, it was found that hedge fund returns are highly serially correlated compared to the returns of more traditional investment vehicles such as mutual funds. Several sources of such high serial correlation were explored and the research illustrated that the most likely explanation of this derived from asset illiquidity and smoothing of returns. Illiquid securities are not actively traded and market prices are not always available for them. In the case of smoothing, brokers or managers have the flexibility to report partial returns. Consequently, for portfolios of illiquid or smoothed securities...

Containing Systemic Risk : Paradigm-Based Perspectives on Regulatory Reform

de la Torre, Augusto; Ize, Alain
Fonte: Banco Mundial Publicador: Banco Mundial
Português
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Financial crises can happen for a variety of reasons: (a) nobody really understands what is going on (the collective cognition paradigm); (b) some understand better than others and take advantage of their knowledge (the asymmetric information paradigm); (c) everybody understands, but crises are a natural part of the financial landscape (the costly enforcement paradigm); or (d) everybody understands, yet no one acts because private and social interests do not coincide (the collective action paradigm). The four paradigms have different and often conflicting prudential policy implications. This paper proposes and discusses three sets of reforms that would give due weight to the insights from the collective action and collective cognition paradigms by redrawing the regulatory perimeter to internalize systemic risk without promoting dynamic regulatory arbitrage; introducing a truly systemic liquidity regulation that moves away from a purely idiosyncratic focus on maturity mismatches; and building up the supervisory function while avoiding the pitfalls of expanded official oversight.

Arbitrage-free SVI volatility surfaces

Gatheral, Jim; Jacquier, Antoine
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.99%
In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility surface in such a way as to guarantee the absence of static arbitrage. In particular, we exhibit a large class of arbitrage-free SVI volatility surfaces with a simple closed-form representation. We demonstrate the high quality of typical SVI fits with a numerical example using recent SPX options data.; Comment: 25 pages, 6 figures Corrected some typos. Extended bibliography. Paper restructured, Main theorem (Theorem 4.1) improved. Proof of Theorem 4.3 amended

Hedging, arbitrage and optimality with superlinear frictions

Guasoni, Paolo; Rásonyi, Miklós
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 19/06/2015 Português
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In a continuous-time model with multiple assets described by c\`{a}dl\`{a}g processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices arbitrarily unfavorable for high trading intensity. Such frictions induce a duality between feasible trading strategies and shadow execution prices with a martingale measure. Utility maximizing strategies exist even if arbitrage is present, because it is not scalable at will.; Comment: Published at http://dx.doi.org/10.1214/14-AAP1043 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time

Rokhlin, Dmitry B.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 13/03/2006 Português
Relevância na Pesquisa
26.99%
We obtain a constructive criterion for robust no-arbitrage in discrete-time market models with transaction costs. This criterion is expressed in terms of the supports of the regular conditional upper distributions of the solvency cones. We also consider the model with a bank account. A method for construction of arbitrage strategies is proposed.; Comment: 18 pages, 1 fig

A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets

German, David; Schellhorn, Henry
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 21/06/2012 Português
Relevância na Pesquisa
26.99%
We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at the required limit price, the unmatched part of the order is recorded in the order book. Subsequently these buy unmatched orders may be matched with new incoming sell orders. The resulting demand curve constitutes the sole input to our model. The clearing price is then mechanically calculated using the market clearing condition. We use a Brownian sheet to model the demand curve, and provide some theoretical assumptions under which such a model is justified. Our main result is the proof that if there exists a unique equivalent martingale measure for the clearing price, then under some mild assumptions there is no arbitrage. We use the Ito- Wentzell formula to obtain that result, and also to characterize the dynamics of the demand curve and of the clearing price in the equivalent measure. We find that the volatility of the clearing price is (up to a stochastic factor) inversely proportional to the sum of buy and sell order flow density (evaluated at the clearing price), which confirms the intuition that volatility is inversely proportional to volume. We also demonstrate that our approach is implementable. We use real order book data and simulate option prices under a particularly simple parameterization of our model. The no-arbitrage conditions we obtain are applicable to a wide class of models...

Why do convertible issuers simultaneously repurchase stock? An arbitrage-based explanation

Dutordoir, Marie; Verwijmeren, Patrick
Fonte: Universitat Autònoma de Barcelona. Departament d'Economia de l'Empresa Publicador: Universitat Autònoma de Barcelona. Departament d'Economia de l'Empresa
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em //2008 Português
Relevância na Pesquisa
26.99%
We examine why firms combine convertible debt offerings with stock repurchases. In 2006, 33% of the convertible issuers in the US simultaneously repurchased stock. These combined transactions are inconsistent with traditional motivations for convertible issuance. We document that convertible arbitrage drives these stock repurchases. Convertible debt arbitrageurs simultaneously buy convertibles and short sell the issuer’s common stock, resulting in downward pressure on the stock price. To prevent such short-selling activity, firms repurchase their stock directly from arbitrageurs. We show that combined transactions exhibit lower short-selling activity and that convertible arbitrage explains both the size and speed of the stock repurchases.

On the lower arbitrage bound of American contingent claims

Acciaio, Beatrice; Svindland, Gregor
Fonte: Wiley-Blackwell Publicador: Wiley-Blackwell
Tipo: Article; PeerReviewed Formato: application/pdf
Publicado em /01/2014 Português
Relevância na Pesquisa
26.99%
We prove that in a discrete-time market model the lower arbitrage bound of an American contingent claim is itself an arbitrage-free price if and only if it corresponds to the price of the claim optimally exercised under some equivalent martingale measure.

Can profitable arbitrage opportunities in the raw cotton market explain Britain’s continued preference for mule spinning?

Leunig, Tim
Fonte: Department of Economic History, London School of Economics and Political Science Publicador: Department of Economic History, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /11/2002 Português
Relevância na Pesquisa
26.99%
In an influential article Saxonhouse and Wright argued that the quality of local cotton was the single most important factor in explaining national preferences for ring or mule spinning. For Britain, they argue that mills using more flexible mule spindles could exploit arbitrage opportunities between different types of cotton in the Liverpool market, reducing the incentives to adopt rings. We use newly assembled price data to show that such cost-reducing arbitrage opportunities were small. We argue instead that the primary determinants of Lancashire’s technological choice were demand factors, but that the availability of good raw cotton did determine technological choice in emerging cotton industries.

Arbitrage networks

Rahi, Rohit; Zigrand, Jean-Pierre
Fonte: Rohit Rahi and Jean-Pierre Zigrand Publicador: Rohit Rahi and Jean-Pierre Zigrand
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em 24/01/2008 Português
Relevância na Pesquisa
26.99%
This paper is studies the general equilibrium implications of arbitrage trades by strategic players in segmented financial markets. Arbitrageurs exploit client`ele effects and choose to specialize in one category of trades, taking into consideration all other arbitrage strategies. This results in an equilibrium network of arbitrageurs. The optimal network for arbitrageurs is of the hub-spoke kind. The equilibrium network, in contrast, is never optimal for arbitrageurs and is never hub-spoke. The reason is that equilibrium networks suffer from a Prisoner’s Dilemma problem that prevents network externalities from being internalized. We show that, as the number of intermediaries grows, equilibrium allocations converge to those of the frictionless complete-markets Arrow-Debreu economy.

Bullion, bills and arbitrage: exchange markets in fourteenth- to seventeenth century Europe

Ling-Fan, Li
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em /08/2012 Português
Relevância na Pesquisa
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Two drawbacks of current empirical studies on late medieval financial market integration are: the use of low frequency data; and the lack of a benchmark for comparison. As a result, there is a tendency to underestimate the degree of integration and one has no clear idea about whether the estimated degree of integration is high or low by the standards of the time. Consequently, there is not yet a satisfactory answer as to how integrated and efficient financial markets were in the late Middle Ages and early modern era. In tackling these two problems, this thesis employs monthly and weekly exchange rates to measure the degree of exchange market integration and the results are judged using the speed of communication as a benchmark since the flow of information played a critical role in financial arbitrage. Therefore, this thesis is able to show that exchange markets were already well integrated in the late fourteenth century. From then to the late seventeenth century, the high speed of adjustment to profitable opportunities was maintained, but the transaction costs associated with arbitrage fell over time. The reduction in transaction cost may be attributed to the financial innovations that took place in the sixteenth century. This thesis also finds that the type of information related to shocks received by economic agents had a decisive impact on the speed of price adjustment. The more explicit the information...