This research seeks to investigate the frequency and profitability of index arbitrage opportunities involving the SET50 futures, SET50 component stocks, and the ThaiDEX SET50 ETF (ticker symbol: TDEX). In particular, the frequency and profit of arbitrage are measured in the following three arbitrage tests: (1) SET50 futures vs. ThaiDEX SET50 ETF, (2) SET50 futures vs. SET50 component stocks, an...

Data is a commodity. Recent research has considered the mathematical problem of setting prices for different queries over data. Ideal pricing functions need to be flexible – defined for arbitrary queries (select-project-join, aggregate, random sample, and noisy privacy-preserving queries). They should be fine-grained – a consumer should not be required to buy the entire database to get answers ...

Abstract This paper presents a proof of Afriat’s (Int Econ Rev 8:67–77) theorem on revealed preference by using the idea that rational consumer should not be vulnerable to arbitrage. The main mathematical tool is separating hyperplane theorem.

Roughly speaking, statistical arbitrage is a long horizon trading strategy that generates a riskless profit. The concept of statistical arbitrage is motivated by numerous empirical studies that construct trading strategies to profit from persistent anomalies. However, we demonstrate by example that positive expected trading profits are not sufficient to reject market efficiency. Instead, this p...

In a world were trading is costless, assets with identical cash flows must have identical prices. If arbitrageurs face unit time costs, or holding costs, the prices of these assets need not be equal, i.e the assets can be relatively mispriced. This paper constructs a dynamic model of the equilibrium determination of prices under costly arbitrage. Our analysis reveals that: (i) Mispricing and ar...

This paper constructs a dynamic model of the equilibrium determination of relative prices when risk averse arbitragers face holding costs. The major fmdings are as follows: 1) Arbitragers reduce but do not eliminate mispricings. 2) Because arbitragers optimally take positions when mispricings are within the riskless arbitrage bounds, models based on riskless arbitrage arguments alone may not pr...

If arbitrage is costly and noise traders are active, asset prices may deviate from fundamental values for long periods of time. We use a sample of 158 closed-end funds to show that noise-trader sentiment, as proxied by retail-investor flows, leads to fluctuations in the discount. Nevertheless, we reject the hypothesis that noise-trader risk is the cause of the long-run discount. Instead we find...

In this paper we discuss a problem quite debated in the literature, namely how to obtain dynamic versions of cross-sectional models for the term structure of interest rates which satisfies some desirable requirements: (a) providing a good reconstruction of market data; (b) having theoretical control of the dynamic no-arbitrage conditions. These requirements are often conflicting: many empirical...