Search results for "no-arbitrage"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
133	Xiuli Chao, K. K. Lai, Shouyang Wang, Mei Yu	Optimal Consumption Portfolio and No-Arbitrage with Nonproportional Transaction Costs.	Ann. Oper. Res.	2005	DBLP DOI BibTeX RDF	no-arbitrage, optimal consumption, bid-ask spreads, transaction costs, portfolio selection
118	Kisoeb Park, Moonseong Kim, Seki Kim	Simulation Analysis for the Pricing of Bond Option on Arbitrage-Free Models with Jump.	ICCSA (2)	2008	DBLP DOI BibTeX RDF	Arbitrage-free Models with Jump, Bond Option Price, Simulation
78	Zhongfei Li, Kai W. Ng	Looking for Arbitrage or Term Structures in Frictional Markets.	WINE	2005	DBLP DOI BibTeX RDF
78	Mao-cheng Cai, Xiaotie Deng, Zhongfei Li	Computation of Arbitrage in a Financial Market with Various Types of Frictions.	AAIM	2005	DBLP DOI BibTeX RDF
78	Xiaotie Deng, Shunming Zhang	Arbitrage-Free Asset Pricing in General State Space.	IDEAL	2000	DBLP DOI BibTeX RDF
63	Feng Wang 0037, Yuanxiang Li, Cheng Yang	Covered Interest Arbitrage in Exchange Rate Forecasting Markets.	FAW	2009	DBLP DOI BibTeX RDF
63	Stefan Luckner, Christof Weinhardt	Arbitrage Opportunities and Market-Making Traders in Prediction Markets.	CEC/EEE	2008	DBLP DOI BibTeX RDF
63	Xiaotie Deng, Zhongfei Li, Shouyang Wang	On Computation of Arbitrage for Markets with Friction.	COCOON	2000	DBLP DOI BibTeX RDF
58	Eytan Adar, Michael Skinner, Daniel S. Weld	Information arbitrage across multi-lingual Wikipedia.	WSDM	2009	DBLP DOI BibTeX RDF	information arbitrage, Wikipedia, translation, multi-lingual
58	Xiaotie Deng, Zhongfei Li, Shouyang Wang, Hailiang Yang	Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions.	Ann. Oper. Res.	2005	DBLP DOI BibTeX RDF	weak no-arbitrage, bid-ask spread, taxes, nonlinear programming, transaction costs
55	Stephan Recker	Multilayered Wholesale Resource Trading to Foster Service Diversity in Packet-Switching Networks.	Telecommun. Syst.	2004	DBLP DOI BibTeX RDF	arbitrage opportunities, profitability assessment, multi-stage contribution, margin accounting, virtual network structures, costing
48	Philip Saks, Dietmar Maringer	Genetic Programming in Statistical Arbitrage.	EvoWorkshops	2008	DBLP DOI BibTeX RDF
48	John K. Debenham	Identifying Arbitrage Opportunities in E-markets.	EC-Web	2002	DBLP DOI BibTeX RDF
45	David Heath, Hyejin Ku	Consistency among trading desks.	Finance Stochastics	2006	DBLP DOI BibTeX RDF	Mathematics Subject Classification (2000) 91B24, 60B05, 46N10
45	Markus Müller	Regulatory competition and E-Commerce.	ICEC	2003	DBLP DOI BibTeX RDF	conflict of laws, internet regulation, regulatory competition, electronic commerce
40	Hui Peng, Min Ling	Will Commodity Properties Affect Seller's Creditworthy: Evidence in C2C E-commerce Market in China.	WISM	2009	DBLP DOI BibTeX RDF	credit rating, commodity property, credit distribution, credit cluster, rating arbitrage, E-commerce, trustworthy
40	Antonia Azzini, Andrea Tettamanzi	A neural evolutionary approach to financial modeling.	GECCO	2006	DBLP DOI BibTeX RDF	statistical arbitrage, neural networks, evolutionary algorithms, financial modeling
40	Kam Fui Lau	Real-time intelligent program stock trading.	ACM Southeast Regional Conference (2)	2005	DBLP DOI BibTeX RDF	index arbitrage, program stock trading, real-time object-oriented databases, transaction scheduling
37	Simone Farinelli, Hideyuki Takada	Geometry and Spectral Theory Applied to Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk.	Symmetry	2022	DBLP DOI BibTeX RDF
33	David Edelman	Using Kalman-filtered Radial Basis Function Networks for Index Arbitrage in the Financial Markets.	Natural Computing in Computational Finance	2008	DBLP DOI BibTeX RDF
33	Richard E. Schuler	Spatial Arbitrage to Reduce "Seams" across Electricity System Control Areas: An Experimental Analysis.	HICSS	2008	DBLP DOI BibTeX RDF
33	Bruno Bouchard 0002	No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure.	Finance Stochastics	2006	DBLP DOI BibTeX RDF	JEL Classification G10
33	Nikos S. Thomaidis, Nick Kondakis, Georgios Dounias	An Intelligent Statistical Arbitrage Trading System.	SETN	2006	DBLP DOI BibTeX RDF
33	Sintiani Dewi Teddy, Edmund Ming-Kit Lai, Hiok Chai Quek	A Brain-Inspired Cerebellar Associative Memory Approach to Option Pricing and Arbitrage Trading.	ICONIP (3)	2006	DBLP DOI BibTeX RDF
33	Whye Loon Tung, Chai Quek	GenSo-OPATS: a brain-inspired dynamically evolving option pricing model and arbitrage trading system.	Congress on Evolutionary Computation	2005	DBLP DOI BibTeX RDF
33	Kai Chun Chiu, Lei Xu 0001	Stock Price and Index Forecasting by Arbitrage Pricing Theory-Based Gaussian TFA Learning.	IDEAL	2002	DBLP DOI BibTeX RDF
33	Fung Yip, Lei Xu 0001	An Application of Independent Component Analysis in the Arbitrage Pricing Theory.	IJCNN (5)	2000	DBLP DOI BibTeX RDF
33	D. Edelman, P. Davy, Yat Lok Chung	Using neural network prediction to arbitrage the Australian All-Ordinaries Index.	KES	1999	DBLP DOI BibTeX RDF
30	Lothar Rogge	Call Completeness Implies Completeness in the n -period Model of a Financial Market.	Finance Stochastics	2006	DBLP DOI BibTeX RDF	JEL Classifications C60, G10
25	Martin Wagener, Ryan Riordan	System Latency in Linked Spot and Futures Markets.	AMCIS/SIGeBIZ	2009	DBLP DOI BibTeX RDF	index arbitrage, lead-lag effect, latency, Algorithmic trading, market microstructure
25	Michael Ostrovsky	Information aggregation in dynamic markets with strategic traders.	EC	2009	DBLP DOI BibTeX RDF	agreeing to disagree, arbitrage, common priors, rational expectations equilibrium, prediction markets, information aggregation, efficient market hypothesis
25	Lisa A. Korf	Stochastic programming duality: 8 multipliers for unbounded constraints with an application to mathematical finance.	Math. Program.	2004	DBLP DOI BibTeX RDF	arbitrage, fundamental theorem of asset pricing, duality, stochastic programming, Lagrange multipliers
18	Evangelos G. Tsimopoulos, Christos N. Dimitriadis, Michael C. Georgiadis	Financial arbitrage in electricity markets via virtual bidding.	Comput. Chem. Eng.	2024	DBLP DOI BibTeX RDF
18	Fredi Saric, Stjepan Begusic, Andro Mercep, Zvonko Kostanjcar	Statistical arbitrage portfolio construction based on preference relations.	Expert Syst. Appl.	2024	DBLP DOI BibTeX RDF
18	Yun Xiang, Shijie Deng	Statistical arbitrage under a fractal price model.	Ann. Oper. Res.	2024	DBLP DOI BibTeX RDF
18	Seyed Soroush Karimi Madahi, Bert Claessens, Chris Develder	Distributional Reinforcement Learning-based Energy Arbitrage Strategies in Imbalance Settlement Mechanism.	CoRR	2024	DBLP DOI BibTeX RDF
18	Fabian Krause, Jan-Peter Calliess	End-to-End Policy Learning of a Statistical Arbitrage Autoencoder Architecture.	CoRR	2024	DBLP DOI BibTeX RDF
18	Venkat Venkatasubramanian, Jessica Shi 0003, Leo Goldman, Arun Sankar E. M., Abhishek Sivaram	Density and Affinity Dependent Social Segregation and Arbitrage Equilibrium in a Multi-class Schelling Game.	CoRR	2024	DBLP DOI BibTeX RDF
18	Krzysztof Gogol, Johnnatan Messias, Deborah Miori, Claudio J. Tessone, Benjamin Livshits	Quantifying Arbitrage in Automated Market Makers: An Empirical Study of Ethereum ZK Rollups.	CoRR	2024	DBLP DOI BibTeX RDF
18	Lioba Heimbach, Vabuk Pahari, Eric Schertenleib	Non-Atomic Arbitrage in Decentralized Finance.	CoRR	2024	DBLP DOI BibTeX RDF
18	Armando Gomes	Takeovers, Freezeouts, and Risk Arbitrage.	Games	2024	DBLP DOI BibTeX RDF
18	Ori Mazor, Ori Rottenstreich	An Empirical Study of Cross-Chain Arbitrage in Decentralized Exchanges.	COMSNETS	2024	DBLP DOI BibTeX RDF
18	Fabio Braggion, Alberto Manconi, Haikun Zhu	Household Credit and Regulatory Arbitrage: Evidence from Online Marketplace Lending.	Manag. Sci.	2023	DBLP DOI BibTeX RDF
18	Kai Li 0017, Shixuan Guan, Darren Lee	Towards Understanding and Characterizing the Arbitrage Bot Scam In the Wild.	Proc. ACM Meas. Anal. Comput. Syst.	2023	DBLP DOI BibTeX RDF
18	Federico Gatta, Carmela Iorio, Diletta Chiaro, Fabio Giampaolo, Salvatore Cuomo	Statistical arbitrage in the stock markets by the means of multiple time horizons clustering.	Neural Comput. Appl.	2023	DBLP DOI BibTeX RDF
18	Andrea Cinfrignini, Davide Petturiti, Barbara Vantaggi	Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting.	Ann. Oper. Res.	2023	DBLP DOI BibTeX RDF
18	Mauricio Contreras González, Roberto Ortiz Herrera	Three little arbitrage theorems.	Frontiers Appl. Math. Stat.	2023	DBLP DOI BibTeX RDF
18	Erdinc Akyildirim, Ahmet Göncü, Alper A. Hekimoglu, Duc Khuong Nguyen, Ahmet Sensoy	Statistical arbitrage: factor investing approach.	OR Spectr.	2023	DBLP DOI BibTeX RDF
18	Chien-Chih Lin, Yuan Chung Lee, Chien-Jen Su, Pei-Ling Lin	The Influence of Hedge, Arbitrage, and After-Hours Trading on the Holding Returns of TAIEX Futures.	Axioms	2023	DBLP DOI BibTeX RDF
18	Nicole Bäuerle, Tamara Göll	Nash equilibria for relative investors via no-arbitrage arguments.	Math. Methods Oper. Res.	2023	DBLP DOI BibTeX RDF
18	Linwei Sang, Yinliang Xu, Huan Long, Qinran Hu, Hongbin Sun 0002	Electricity Price Prediction for Energy Storage System Arbitrage: A Decision-focused Approach.	CoRR	2023	DBLP DOI BibTeX RDF
18	Alban Puech, Gorazd Dimitrov, Claudia D'Ambrosio	Optimal Battery Charge Scheduling For Revenue Stacking Under Operational Constraints Via Energy Arbitrage.	CoRR	2023	DBLP DOI BibTeX RDF
18	Ariel Neufeld, Julian Sester	Neural networks can detect model-free static arbitrage strategies.	CoRR	2023	DBLP DOI BibTeX RDF
18	Kai Li 0017, Darren Lee, Shixuan Guan	Understanding and Characterizing Cryptocurrency Free Giveaway and Arbitrage Bot Scams In the Wild.	CoRR	2023	DBLP DOI BibTeX RDF
18	Kai Li 0017, Shixuan Guan, Darren Lee	Towards Understanding and Characterizing the Arbitrage Bot Scam In the Wild.	CoRR	2023	DBLP DOI BibTeX RDF
18	Md Umar Hashmi, Stephen Hardy 0003, Dirk Van Hertem, Harsha Nagarajan	Multi-market Optimal Energy Storage Arbitrage with Capacity Blocking for Emergency Services.	CoRR	2023	DBLP DOI BibTeX RDF
18	Jinhao Li, Changlong Wang, Hao Wang	Optimal Energy Storage Scheduling for Wind Curtailment Reduction and Energy Arbitrage: A Deep Reinforcement Learning Approach.	CoRR	2023	DBLP DOI BibTeX RDF
18	Soumyadip Sarkar	Harnessing Deep Q-Learning for Enhanced Statistical Arbitrage in High-Frequency Trading: A Comprehensive Exploration.	CoRR	2023	DBLP DOI BibTeX RDF
18	Hongfu Huang, Yong He 0004, Dong Li 0006, Shanshan Li 0007	Competing multinationals' backshoring decisions: Tax arbitrage versus production reliability tradeoff.	Eur. J. Oper. Res.	2023	DBLP DOI BibTeX RDF
18	Alexander Zimper	Unrealized arbitrage opportunities in naive equilibria with non-Bayesian belief processes.	Math. Soc. Sci.	2023	DBLP DOI BibTeX RDF
18	Iris Hse-Yu Chiu	An institutional account of responsiveness in financial regulation- Examining the fallacy and limits of 'same activity, same risks, same rules' as the answer to financial innovation and regulatory arbitrage.	Comput. Law Secur. Rev.	2023	DBLP DOI BibTeX RDF
18	Abhishek Sivaram, Venkat Venkatasubramanian	Arbitrage Equilibrium, Invariance, and the Emergence of Spontaneous Order in the Dynamics of Bird-like Agents.	Entropy	2023	DBLP DOI BibTeX RDF
18	Ori Mazor, Ori Rottenstreich	An Empirical Study of Cross-chain Arbitrage in Decentralized Exchanges.	IACR Cryptol. ePrint Arch.	2023	DBLP BibTeX RDF
18	Marco Maggis	Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti's Early Contributions.	SIAM J. Financial Math.	2023	DBLP DOI BibTeX RDF
18	Brian Ning, Sebastian Jaimungal, Xiaorong Zhang, Maxime Bergeron	Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders.	SIAM J. Financial Math.	2023	DBLP DOI BibTeX RDF
18	Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden	Extended Abstract: The Effect of Trading Fees on Arbitrage Profits in Automated Market Makers.	FC Workshops	2023	DBLP DOI BibTeX RDF
18	Ivan Vakhmyanin, Yana Volkovich	Price Arbitrage for DeFi Derivatives.	ICBC	2023	DBLP DOI BibTeX RDF
18	Daisuke Yoshikawa	A new investment method for statistical arbitrage using eigendecomposition to generate stationarity.	IIAI-AAI	2023	DBLP DOI BibTeX RDF
18	Davide Petturiti, Barbara Vantaggi	No-arbitrage pricing with α-DS mixtures in a market with bid-ask spreads.	ISIPTA	2023	DBLP BibTeX RDF
18	Robert McLaughlin, Christopher Kruegel, Giovanni Vigna	A Large Scale Study of the Ethereum Arbitrage Ecosystem.	USENIX Security Symposium	2023	DBLP BibTeX RDF
18	Andrew Morin, Tyler Moore 0001	How Cryptocurrency Exchange Interruptions Create Arbitrage Opportunities.	EuroS&P Workshops	2023	DBLP DOI BibTeX RDF
18	Álvaro Cartea, Fayçal Drissi, Marcello Monga	Execution and Statistical Arbitrage with Signals in Multiple Automated Market Makers.	ICDCS Workshops	2023	DBLP DOI BibTeX RDF
18	Qi Jin, Mihai Cucuringu, Álvaro Cartea	Correlation Matrix Clustering for Statistical Arbitrage Portfolios.	ICAIF	2023	DBLP DOI BibTeX RDF
18	Victor R. Kebande, Jianguo Ding	Blockchain-Enabled Renewable Energy Traceability with a Crypto-based Arbitrage Pricing Model.	FMEC	2023	DBLP DOI BibTeX RDF
18	Robert-Christian Oanta, Adriana Mihaela Coroiu	Crypto Advisor: A Web Application for Spotting Cross-Exchange Cryptocurrency Arbitrage Opportunities.	CSEDU (1)	2023	DBLP DOI BibTeX RDF
18	Alban Puech, Gorazd Dimitrov, Claudia D'Ambrosio	Optimal Battery Charge Scheduling For Revenue Stacking Under Operational Constraints Via Energy Arbitrage.	ISGT EUROPE	2023	DBLP DOI BibTeX RDF
18	Ioannis Moschos, Nikolaos Koltsaklis, Konstantinos O. Oureilidis, Constantinos Parisses, Georgios C. Christoforidis	Levelized Cost of Storage for Hybrid Energy Storage Systems with Fast Response Capabilities for Energy Arbitrage and Fast Frequency Response.	ISGT EUROPE	2023	DBLP DOI BibTeX RDF
18	Salvatore Carta, Sergio Consoli, Alessandro Sebastian Podda, Diego Reforgiato Recupero, Maria Madalina Stanciu	Statistical arbitrage powered by Explainable Artificial Intelligence.	Expert Syst. Appl.	2022	DBLP DOI BibTeX RDF
18	Erdinc Akyildirim, Frank J. Fabozzi, Ahmet Göncü, Ahmet Sensoy	Statistical arbitrage in jump-diffusion models with compound Poisson processes.	Ann. Oper. Res.	2022	DBLP DOI BibTeX RDF
18	Linwei Sang, Yinliang Xu, Huan Long, Qinran Hu, Hongbin Sun 0002	Electricity Price Prediction for Energy Storage System Arbitrage: A Decision-Focused Approach.	IEEE Trans. Smart Grid	2022	DBLP DOI BibTeX RDF
18	Hai Jin 0001, Chenchen Li, Jiang Xiao, Teng Zhang 0001, Xiaohai Dai, Bo Li 0001	Detecting Arbitrage on Ethereum Through Feature Fusion and Positive-Unlabeled Learning.	IEEE J. Sel. Areas Commun.	2022	DBLP DOI BibTeX RDF
18	Ningkun Zheng, Xiaoxiang Liu, Bolun Xu, Yuanyuan Shi	Energy Storage Price Arbitrage via Opportunity Value Function Prediction.	CoRR	2022	DBLP DOI BibTeX RDF
18	Ariel Neufeld, Julian Sester, Daiying Yin	Detecting data-driven robust statistical arbitrage strategies with deep neural networks.	CoRR	2022	DBLP DOI BibTeX RDF
18	Yankai Sheng, Ding Ma	Stock Index Spot-Futures Arbitrage Prediction Using Machine Learning Models.	Entropy	2022	DBLP DOI BibTeX RDF
18	Claude Martini, Arianna Mingone	No Arbitrage SVI.	SIAM J. Financial Math.	2022	DBLP DOI BibTeX RDF
18	Philippe Bergault, Fayçal Drissi, Olivier Guéant	Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein-Uhlenbeck Dynamics.	SIAM J. Financial Math.	2022	DBLP DOI BibTeX RDF
18	Salvatore Carta, Sergio Consoli, Alessandro Sebastian Podda, Diego Reforgiato Recupero, Maria Madalina Stanciu	An eXplainable Artificial Intelligence tool for statistical arbitrage.	Softw. Impacts	2022	DBLP DOI BibTeX RDF
18	Yuheng Wang, Jiliang Li, Zhou Su, Yuyi Wang 0001	Arbitrage Attack: Miners of the World, Unite!	Financial Cryptography	2022	DBLP DOI BibTeX RDF
18	Ye Wang, Yan Chen, Haotian Wu, Liyi Zhou, Shuiguang Deng, Roger Wattenhofer	Cyclic Arbitrage in Decentralized Exchanges.	WWW (Companion Volume)	2022	DBLP DOI BibTeX RDF
18	Yunfei Bai, Jihong Wang, Wei He	Impacts of Battery Degradation Modelling on the Battery Controller Design for Grid Arbitrage.	ECC	2022	DBLP DOI BibTeX RDF
18	Artem Arkhipov	Arbitrage as a new normal in contemporary financial markets?	ITQM	2022	DBLP DOI BibTeX RDF
18	Eric Neyman, Tim Roughgarden	Strictly Proper Contract Functions Can Be Arbitrage-Free.	AAAI	2022	DBLP DOI BibTeX RDF
18	Sajitha Nair, Katayoun Rahbar, Peng Peng, Albert Albert	Multi-Application Battery Energy Storage Systems for Energy Arbitrage and Frequency Regulation: Singapore Context Analysis.	ISGT Asia	2022	DBLP DOI BibTeX RDF
18	Thendo Sidogi, Wilson Tsakane Mongwe, Rendani Mbuvha, Tshilidzi Marwala	Creating Synthetic Volatility Surfaces using Generative Adversarial Networks with Static Arbitrage Loss Conditions.	SSCI	2022	DBLP DOI BibTeX RDF
18	Lysandros Tziovani, Lenos Hadjidemetriou, Stelios Timotheou	Energy Storage Arbitrage and Peak Shaving in Distribution Grids Under Uncertainty.	ISGT-Europe	2022	DBLP DOI BibTeX RDF
18	Scott Joslin, Anh Le	Interest Rate Volatility and No-Arbitrage Affine Term Structure Models.	Manag. Sci.	2021	DBLP DOI BibTeX RDF
18	Thierry Post, Inaki Rodríguez Longarela	Risk Arbitrage Opportunities for Stock Index Options.	Oper. Res.	2021	DBLP DOI BibTeX RDF
18	Salvatore M. Carta, Sergio Consoli, Alessandro Sebastian Podda, Diego Reforgiato Recupero, Maria Madalina Stanciu	Ensembling and Dynamic Asset Selection for Risk-Controlled Statistical Arbitrage.	IEEE Access	2021	DBLP DOI BibTeX RDF
18	Simone Farinelli, Hideyuki Takada	Can You Hear the Shape of a Market? Geometric Arbitrage and Spectral Theory.	Axioms	2021	DBLP DOI BibTeX RDF
18	Yali Lu, Cyril R. H. Foropon, Dandan Wang, Shuaishuai Xu	Arbitrage in gray markets and its impact on supply chain decisions.	J. Enterp. Inf. Manag.	2021	DBLP DOI BibTeX RDF