G2TT

浏览/检索结果: 共7条,第1-7条 帮助

已选(0)清除 条数/页:   排序方式:
DP15235 Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain 智库出版物
2020
作者:  Joel PERESS;  Xi Dong;  NAMHO KANG
收藏  |  浏览/下载:8/0  |  提交时间:2022/09/22
Pricing anomalies  Market efficiency  Return persistence and cyclicality/seasonality  Mutual funds  Hedge funds  Slow-moving capital  Transaction costs  Limits to arbitrage  Spectral analysis  
DP13873 Correlation Risk, Strings and Asset Prices 智库出版物
2019
作者:  Antonio Mele;  Walter Distaso;  Grigory Vilkov
收藏  |  浏览/下载:9/0  |  提交时间:2022/09/22
Correlation premium  Correlation-risk premium  Cross-section of returns  Arbitrage pricing  String models  Implied correlation  
DP13689 Market Frictions, Arbitrage, and the Capitalization of Amenities 智库出版物
2019
作者:  Amine Ouazad;  Romain Rancière
收藏  |  浏览/下载:6/0  |  提交时间:2022/09/22
Dynamic housing choices  Market friction  Mortgage crisis  Pricing of amenities  Limits of arbitrage  
DP9885 Liquidity Risk and the Dynamics of Arbitrage Capital 智库出版物
2014
作者:  Dimitri Vayanos;  Péter Kondor
收藏  |  浏览/下载:4/0  |  提交时间:2022/09/22
Arbitrage capital  Asset pricing  Liquidity  Liquidity risk  Risk-sharing  
WTI Benchmark Temporarily Breaks Down: Is it really a Big Deal? 智库出版物
2007
作者:  Bassam Fattouh
Adobe PDF(239Kb)  |  收藏  |  浏览/下载:3/0  |  提交时间:2019/11/08
Arbitrage  Brent  Crude Oil  Cushing  Inventories  Pipeline  Price Differentials  Pricing Formula  The WTI Benchmark  USA  Volatility  
DP4811 What We Don't Know About the Monetary Transmission Mechanism and Why We Don't Know It 智库出版物
2004
作者:  Roger Farmer;  Andreas Beyer
收藏  |  浏览/下载:6/0  |  提交时间:2022/09/22
Arbitrage  Asset pricing  Margin requirements  Non-competitive markets  Risk-sharing  
Redefining the Convenience Yield in the North Sea Crude Oil Market 智库出版物
2004
作者:  F. Caumon;  J. Bower
Adobe PDF(145Kb)  |  收藏  |  浏览/下载:5/0  |  提交时间:2019/11/08
Arbitrage  Brent  Convenience Yield  Futures Contracts  Oil Markets  Option Pricing Theory  The North Sea  Theory of Storage  WPM 28  WPM28  WTI