In this paper we study the computational problem of arbitrage in a frictional market with a finite number of bonds and finite and discrete times to maturity. Types of frictions under consideration include fixed and proportional transaction costs, bid–ask spreads, taxes, and upper bounds on the number of units for transaction. We develop a necessary and sufficient condition for the existence of ...

This paper examines if markets populated by short-horizon investors tend to have the prices come unhooked from their fundamental values or cash flows. For prices to be near the fundamental value in a market populated with short-horizon investors, the investors must induct backward from future cash flows to the present values. We argue that investors’ ability to backward induct depends criticall...

W develop a consumer response model to evaluate and plan pricing and promotions in durable-good markets. We discuss its implementation in the U.S. automotive industry, which “spends” about $45 billion each year in price promotions. The approach is based on a random effects multinomial nested logit model of product (e.g., a vehicle model, such as Hyundai Tucson), and transaction-type choice. Tra...

We solve an agent’s optimization problem of meeting demands for cash over time with cash deposited in bank or invested in stock. The stock pays dividends and uncertain capital gains, and a commission is incurred in buying and selling of stock. We use a stochastic maximum principle to obtain explicitly the optimal transaction policy.

The growth of e-commerce platform is increasing rapidly and possesses a higher level of hazard compared to standard applications as well as it requires a more prominent level of safety.Additionally, the transaction and their data about clients are enormously sensitive, security production and privacy is exceptionally crucial. Consequently, the confirmation is generally vital towards security ne...

On April 18 2000, one of the largest takeovers in the pulp and paper industry took place. Through a dual cash-share exchange transaction, Donohue Inc. and Abitibi-Consolidated Inc. merged to form the largest newsprint producer in the world. The purpose of this clinical study is to analyse the incentives of all key stakeholders who were involved in the transaction: stockholders, directors, execu...

Bitcoin originated with the white paper that was published in 2008 under the pseudonym “Satoshi Nakamoto.” It was published via a mailing list for cryptography and has a similar appearance to an academic paper. The creators’ original motivation behind Bitcoin was to develop a cash-like payment system that permitted electronic transactions but that also included many of the advantageous characte...

Recently, Fan et al. proposed a novel e-cash scheme which allows a user to recover the e-cash he lost. They claimed their e-cash possesses properties of anonymity, unlinkability (i.e. untraceability), bank-off-line payment, doublespending detection, and anonymity revocation. The ecash untraceability is greatly related to users’ privacy and indicates that no one including the issuer bank can lin...