Filters
Copula-Based Trading of Cointegrated Cryptocurrency Pairs
Main topics of the document: statistical arbitrage; cointegration; copula; pair trading...
Finance
- 2023 •
- O •
- Link
Rok uplatnění
O - Ostatní výsledky
Výsledek na webu
Exploring sources of statistical arbitrage opportunities among Bitcoin exchanges
We investigate potential sources of emerging statistical arbitrage opportunities in the Bitcoin market across five exchanges – Binance, Bitfinex, Bitstamp endogeneity. We show that arbitrage opportunities arise when the net...
Finance
- 2023 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Does index arbitrage distort the market reaction to shocks?
, and it accounts for statistical arbitrage, passive investment strategies, and nettingWe show that ETF arbitrage distorts the market reaction to fundamental shocks of arbitrage transactions at the individual stock...
Applied Economics, Econometrics
- 2019 •
- O •
- Link
Rok uplatnění
O - Ostatní výsledky
Výsledek na webu
Characterization of Arbitrage-free market
Characterization of Arbitrage-free market...
BB - Aplikovaná statistika, operační výzkum
- 2003 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Convexity arbitrage - the idea which does not work
Main topics of the document: convexity arbitrage; algorithmic trading; YTM shift; convexity...
Finance
- 2022 •
- JSC •
- Link
Rok uplatnění
JSC - Článek v periodiku v databázi SCOPUS
Výsledek na webu
ARBITRAGE OPPORTUNITIES IN ENERGETICS
Presented arbitrage opportunities within chosen European energy commodities at chosen markets, especially Czech and Slovak markets. The paper defines operation of European electricity markets and opportunities of arbitrage (time and...
Finance
- 2020 •
- D
Rok uplatnění
D - Stať ve sborníku
Design Of Autonomous Algorithmic Models For Time Series Prediction
This paper is focused on basic concepts used for processing of high frequency data. The idea of designing of systems for predicting of these time series and its parallel to business proces rules modeling will be mentioned. Designed system will use pr...
Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
- 2014 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
The no-arbitrage condition in ALM models
The no-arbitrage condition in ALM models...
BA - Obecná matematika
- 1999 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Sports Betting Arbitrage in English Football
The paper investigates sports betting arbitrage and demonstrates it on data from English football between seasons 2013–14 and 2017–18. Several strategies of arbitrage betting are proposed, e.g., preference for favourite or outsider ...
Statistics and probability
- 2019 •
- D
Rok uplatnění
D - Stať ve sborníku
Detecting and identifying arbitrage in the spot foreign exchange market
of triangular arbitrage opportunities between currency exchange rates in the spot foreign arbitrage opportunities in the setting of non-trivial transaction costs in terms computational approach which can detect triangular arbit...
Statistics and probability
- 2020 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
- 1 - 10 out of 38 883