Página 1 dos resultados de 115 itens digitais encontrados em 0.005 segundos

## Arbitrage pricing theory in international markets; Teoria de apreçamento arbitragem aplicada a mercados internacionais

Bernat, Liana Oliveira
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
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This dissertation studies the impact of multiple pre-specified sources of risk in the return of three non-overlapping groups of countries, through an Arbitrage Pricing Theory (APT) model. The groups are composed of emerging and developed markets. Emerging markets have become important players in the world economy, especially as capital receptors, but they were not included in the majority of previous related works. Two strategies are used to choose two set of risk factors. The first one is to use macroeconomic variables, as prescribed by most of the literature, such as world excess return, exchange rates, variation in the spread between Eurodollar deposit tax and U.S. Treasury bill (TED spread) and change in the oil price. The second strategy is to extract factors by using a principal component analysis, designated as statistical factors. The first important result is a great resemblance between the first statistical factor and the world excess return. We estimate the APT model using two statistical methodologies: Iterated Nonlinear Seemingly Unrelated Regression (ITNLSUR) by McElroy and Burmeister (1988) and the Generalized Method Moments (GMM) by Hansen (1982). The results from both methods are very similar. With macroeconomic variables...

## Modelos de arbitragem estatística: um estudo empírico no mercado brasileiro de ações; Statistical arbitrage models: an empirical study in the Brazilian equity market

Migliorini, Tarik Laiter
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Relevância na Pesquisa
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## Arbitragem nos mercados financeiros: uma proposta bayesiana de verificação; Arbitrage in financial markets: a Bayesian approach for verification

Cerezetti, Fernando Valvano
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Relevância na Pesquisa
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## Estratégia Pairs Trading : combinação de Avaliação Relativa e Arbitragem Estatística

Dallagnol Júnior, Paulo Roberto
Tipo: Trabalho de Conclusão de Curso Formato: application/pdf
Português
Relevância na Pesquisa
46.26%

## Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; Romo, Juan
Tipo: Trabalho em Andamento Formato: application/pdf
Relevância na Pesquisa
56.71%
This paper analyzes possible arbitrage opportunities in credit derivatives markets using selffinancing strategies combining Credit Default Swaps and Asset Swaps Packages. We present a new statistical arbitrage test based on the subsampling methodology which has lower Type I error than existing alternatives. Using four different databases covering the period from 2005 to 2009, long-run (cointegration) and statistical arbitrage analysis are performed. Before the subprime crisis, we find long-run arbitrage opportunities in 26% of the cases and statistical arbitrage opportunities in 24% of the cases. During the crisis, arbitrage opportunities decrease to 8% and 19%, respectively. Arbitrage opportunities are more frequent in the case of relatively low rated bonds and bonds with a high coupon rate.

## Flexible least squares for temporal data mining and statistical arbitrage

Montana, Giovanni; Triantafyllopoulos, Kostas; Tsagaris, Theodoros
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
56.32%
A number of recent emerging applications call for studying data streams, potentially infinite flows of information updated in real-time. When multiple co-evolving data streams are observed, an important task is to determine how these streams depend on each other, accounting for dynamic dependence patterns without imposing any restrictive probabilistic law governing this dependence. In this paper we argue that flexible least squares (FLS), a penalized version of ordinary least squares that accommodates for time-varying regression coefficients, can be deployed successfully in this context. Our motivating application is statistical arbitrage, an investment strategy that exploits patterns detected in financial data streams. We demonstrate that FLS is algebraically equivalent to the well-known Kalman filter equations, and take advantage of this equivalence to gain a better understanding of FLS and suggest a more efficient algorithm. Promising experimental results obtained from a FLS-based algorithmic trading system for the S&P 500 Futures Index are reported.; Comment: 28 pages, 6 figures, submitted to journal

## Dynamic modeling of mean-reverting spreads for statistical arbitrage

Triantafyllopoulos, Kostas; Montana, Giovanni
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
56.32%
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gaussian linear state-space processes have recently been proposed as a model for such spreads under the assumption that the observed process is a noisy realization of some hidden states. Real-time estimation of the unobserved spread process can reveal temporary market inefficiencies which can then be exploited to generate excess returns. Building on previous work, we embrace the state-space framework for modeling spread processes and extend this methodology along three different directions. First, we introduce time-dependency in the model parameters, which allows for quick adaptation to changes in the data generating process. Second, we provide an on-line estimation algorithm that can be constantly run in real-time. Being computationally fast, the algorithm is particularly suitable for building aggressive trading strategies based on high-frequency data and may be used as a monitoring device for mean-reversion. Finally, our framework naturally provides informative uncertainty measures of all the estimated parameters. Experimental results based on Monte Carlo simulations and historical equity data are discussed...

## Volatility smile and stochastic arbitrage returns

Fedotov, Sergei; Panayides, Stephanos
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
36.55%
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns change on different time scales which allows us to develop an asymptotic pricing theory involving the central limit theorem for random processes. We restrict ourselves to finding pricing bands for options rather than exact prices. The resulting pricing bands are shown to be independent of the detailed statistical characteristics of the arbitrage return. We find that the volatility smile'' can also be explained in terms of random arbitrage opportunities.; Comment: 15 pages, 3 figures. The paper was accepted for publication in Physica A

## Asymptotic arbitrage and num\'eraire portfolios in large financial markets

Rokhlin, Dmitry B.
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
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This paper deals with the notion of a large financial market and the concepts of asymptotic arbitrage and strong asymptotic arbitrage (both of the first kind), introduced by Yu.M. Kabanov and D.O. Kramkov. We show that the arbitrage properties of a large market are completely determined by the asymptotic behavior of the sequence of the num\'eraire portfolios, related to the small markets. The obtained criteria can be expressed in terms of contiguity, entire separation and Hellinger integrals, provided these notions are extended to sub-probability measures. As examples we consider market models on finite probability spaces, semimartingale and diffusion models. Also a discrete-time infinite horizon market model with one log-normal stock is examined.; Comment: 18 pages

## Statistical Arbitrage Mining for Display Advertising

Zhang, Weinan; Wang, Jun
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
46.61%
We study and formulate arbitrage in display advertising. Real-Time Bidding (RTB) mimics stock spot exchanges and utilises computers to algorithmically buy display ads per impression via a real-time auction. Despite the new automation, the ad markets are still informationally inefficient due to the heavily fragmented marketplaces. Two display impressions with similar or identical effectiveness (e.g., measured by conversion or click-through rates for a targeted audience) may sell for quite different prices at different market segments or pricing schemes. In this paper, we propose a novel data mining paradigm called Statistical Arbitrage Mining (SAM) focusing on mining and exploiting price discrepancies between two pricing schemes. In essence, our SAMer is a meta-bidder that hedges advertisers' risk between CPA (cost per action)-based campaigns and CPM (cost per mille impressions)-based ad inventories; it statistically assesses the potential profit and cost for an incoming CPM bid request against a portfolio of CPA campaigns based on the estimated conversion rate, bid landscape and other statistics learned from historical data. In SAM, (i) functional optimisation is utilised to seek for optimal bidding to maximise the expected arbitrage net profit...

## Statistical Arbitrage in the Black-Scholes Framework

Goncu, Ahmet
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.44%
In this study we prove the existence of statistical arbitrage opportunities in the Black-Scholes framework by considering trading strategies that consists of borrowing from the risk free rate and taking a long position in the stock until it hits a deterministic barrier level. We derive analytical formulas for the expected value, variance, and probability of loss for the discounted cumulative trading profits. No-statistical arbitrage condition is derived for the Black-Scholes framework, which imposes a constraint on the Sharpe ratio of the stock. Furthermore, we verify our theoretical results via extensive Monte Carlo simulations.

## The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market

Fenn, Daniel J.; Howison, Sam D.; McDonald, Mark; Williams, Stacy; Johnson, Neil F.
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
36.47%
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find intra-day variations in the number and length of arbitrage opportunities, with larger numbers of opportunities with shorter mean durations occurring during more liquid hours. We demonstrate further that the number of arbitrage opportunities has decreased in recent years, implying a corresponding increase in pricing efficiency. Using trading simulations, we show that a trader would need to beat other market participants to an unfeasibly large proportion of arbitrage prices to profit from triangular arbitrage over a prolonged period of time. Our results suggest that the foreign exchange market is internally self-consistent and provide a limited verification of market efficiency.

## Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets

Tsagaris, Theodoros
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
46.26%
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a fund/agent investing in futures markets. We offer some preliminary remarks about statistical arbitrage strategies and we set the framework for futures markets, and introduce concepts such as margin, gearing and slippage. The setting is of discrete time, and the price evolution of the futures prices is modelled as discrete random sequence involving Ito's sums. We assume the drift and the Brownian motion driving the return process are non-observable and the transaction costs are represented by the bid-ask spread. We provide explicit solution to the optimal portfolio process, and we offer an example using logarithmic utility.; Comment: 28 pages, submitted to journal

## Arbitrage Opportunities in Misspecified Stochastic volatility Models

Jena, Rudra P.; Tankov, Peter
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36.36%
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise to arbitrage opportunities. We study these opportunities in a generic stochastic volatility model and exhibit the strategies which maximize the arbitrage profit. In the case when the misspecified dynamics is a classical Black-Scholes one, we give a new interpretation of the classical butterfly and risk reversal contracts in terms of their (near) optimality for arbitrage strategies. Our results are illustrated by a numerical example including transaction costs.; Comment: Several typos in section 5 have been corrected in this new version (with thanks to Amy Y. Zhou from MIT)

## Virtual Arbitrage Pricing Theory

Ilinski, Kirill
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
36.44%
We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the correction to the APT due to the virtual arbitrage opportunities. The resulting relations reduce to the APT for an infinitely fast market reaction or in the case where the virtual arbitrage is absent. Corrections to the Capital Asset Pricing Model (CAPM) are also derived.; Comment: Latex, 12 pages

## A Multi-factor Adaptive Statistical Arbitrage Model

Zhang, Wenbin; Dai, Zhen; Pan, Bindu; Djabirov, Milan
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
56.48%
This paper examines the implementation of a statistical arbitrage trading strategy based on co-integration relationships where we discover candidate portfolios using multiple factors rather than just price data. The portfolio selection methodologies include K-means clustering, graphical lasso and a combination of the two. Our results show that clustering appears to yield better candidate portfolios on average than naively using graphical lasso over the entire equity pool. A hybrid approach of using the combination of graphical lasso and clustering yields better results still. We also examine the effects of an adaptive approach during the trading period, by re-computing potential portfolios once to account for change in relationships with passage of time. However, the adaptive approach does not produce better results than the one without re-learning. Our results managed to pass the test for the presence of statistical arbitrage test at a statistically significant level. Additionally we were able to validate our findings over a separate dataset for formation and trading periods.; Comment: 16 pages

## Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage

Strong, Winslow
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.26%
The theory of functionally generated portfolios (FGPs) is an aspect of the continuous-time, continuous-path Stochastic Portfolio Theory of Robert Fernholz. FGPs have been formulated to yield a master equation - a description of their return relative to a passive (buy-and-hold) benchmark portfolio serving as the num\'eraire. This description has proven to be analytically very useful, as it is both pathwise and free of stochastic integrals. Here we generalize the class of FGPs in several ways: (1) the num\'eraire may be any strictly positive wealth process, not necessarily the market portfolio or even a passive portfolio; (2) generating functions may be stochastically dynamic, adjusting to changing market conditions through an auxiliary continuous-path stochastic argument of finite variation. These generalizations do not forfeit the important tractability properties of the associated master equation. We show how these generalizations can be usefully applied to scenario analysis, statistical arbitrage, portfolio risk immunization, and the theory of mirror portfolios.; Comment: 22 pages

## Arbitrage-free prediction of the implied volatility smile

Dellaportas, Petros; Mijatović, Aleksandar
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
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This paper gives an arbitrage-free prediction for future prices of an arbitrary co-terminal set of options with a given maturity, based on the observed time series of these option prices. The statistical analysis of such a multi-dimensional time series of option prices corresponding to $n$ strikes (with $n$ large, e.g. $n\geq 40$) and the same maturity, is a difficult task due to the fact that option prices at any moment in time satisfy non-linear and non-explicit no-arbitrage restrictions. Hence any $n$-dimensional time series model also has to satisfy these implicit restrictions at each time step, a condition that is impossible to meet since the model innovations can take arbitrary values. We solve this problem for any $n\in\NN$ in the context of Foreign Exchange (FX) by first encoding the option prices at each time step in terms of the parameters of the corresponding risk-neutral measure and then performing the time series analysis in the parameter space. The option price predictions are obtained from the predicted risk-neutral measure by effectively integrating it against the corresponding option payoffs. The non-linear transformation between option prices and the risk-neutral parameters applied here is \textit{not} arbitrary: it is the standard mapping used by market makers in the FX option markets (the SABR parameterisation) and is given explicitly in closed form. Our method is not restricted to the FX asset class nor does it depend on the type of parameterisation used. Statistical analysis of FX market data illustrates that our arbitrage-free predictions outperform the naive random walk forecasts...

## Spontaneous symmetry breaking of arbitrage

Choi, Jaehyung
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36.41%
We introduce the concept of spontaneous symmetry breaking to arbitrage modeling. In the model, the arbitrage strategy is considered as being in the symmetry breaking phase and the phase transition between arbitrage mode and no-arbitrage mode is triggered by a control parameter. We estimate the control parameter for momentum strategy with real historical data. The momentum strategy aided by symmetry breaking shows stronger performance and has a better risk measure than the naive momentum strategy in U.S. and South Korean markets.; Comment: 23 pages, 6 figures; Published version

## Online Convex Optimization Against Adversaries with Memory and Application to Statistical Arbitrage

Anava, Oren; Hazan, Elad; Mannor, Shie
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.26%
The framework of online learning with memory naturally captures learning problems with temporal constraints, and was previously studied for the experts setting. In this work we extend the notion of learning with memory to the general Online Convex Optimization (OCO) framework, and present two algorithms that attain low regret. The first algorithm applies to Lipschitz continuous loss functions, obtaining optimal regret bounds for both convex and strongly convex losses. The second algorithm attains the optimal regret bounds and applies more broadly to convex losses without requiring Lipschitz continuity, yet is more complicated to implement. We complement our theoretic results with an application to statistical arbitrage in finance: we devise algorithms for constructing mean-reverting portfolios.; Comment: 22 pages, 2 figures