Search results for "arbitrage"

Hits ?▲	Authors	Title	Venue	Year	Link
18	Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc	No-arbitrage up to random horizon for quasi-left-continuous models.	Finance Stochastics	2017	DBLP DOI BibTeX RDF
18	Xiaoyu Ji 0002, Hua Ke	No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate.	Fuzzy Optim. Decis. Mak.	2017	DBLP DOI BibTeX RDF
18	Burcu Mantar Gundogdu, Daniel Thomas Gladwin, David A. Stone	Battery SOC management strategy for enhanced frequency response and day-ahead energy scheduling of BESS for energy arbitrage.	IECON	2017	DBLP DOI BibTeX RDF
18	Shaleen Deep, Paraschos Koutris	The Design of Arbitrage-Free Data Pricing Schemes.	ICDT	2017	DBLP DOI BibTeX RDF
18	Mantas Vaitonis, Saulius Masteika	Statistical Arbitrage Trading Strategy in Commodity Futures Market with the Use of Nanoseconds Historical Data.	ICIST	2017	DBLP DOI BibTeX RDF
18	Adam Daggett, Meysam Qadrdan, Nick Jenkins	Feasibility of a battery storage system for a renewable energy park operating with price arbitrage.	ISGT Europe	2017	DBLP DOI BibTeX RDF
18	Mao-cheng Cai, Xiaotie Deng	Arbitrage in Frictional Foreign Exchange Market.	Encyclopedia of Algorithms	2016	DBLP DOI BibTeX RDF
18	Elaine Wah, Michael P. Wellman	Latency arbitrage in fragmented markets: A strategic agent-based analysis.	Algorithmic Finance	2016	DBLP DOI BibTeX RDF
18	Winter Sinkala	On the generation of arbitrage-free stock price models using Lie symmetry analysis.	Comput. Math. Appl.	2016	DBLP DOI BibTeX RDF
18	Xiaoqi Tan, Yuan Wu 0001, Danny H. K. Tsang	Pareto Optimal Operation of Distributed Battery Energy Storage Systems for Energy Arbitrage under Dynamic Pricing.	IEEE Trans. Parallel Distributed Syst.	2016	DBLP DOI BibTeX RDF
18	Hsing Kenneth Cheng, Zhi Li, Andy Naranjo	Research Note - Cloud Computing Spot Pricing Dynamics: Latency and Limits to Arbitrage.	Inf. Syst. Res.	2016	DBLP DOI BibTeX RDF
18	Christian Kroer, Miroslav Dudík, Sébastien Lahaie, Sivaraman Balakrishnan	Arbitrage-Free Combinatorial Market Making via Integer Programming.	CoRR	2016	DBLP BibTeX RDF
18	Shaleen Deep, Paraschos Koutris	The Design of Arbitrage-Free Data Pricing Schemes.	CoRR	2016	DBLP BibTeX RDF
18	Thai Ha-Huy, Cuong Le Van, Manh-Hung Nguyen 0001	Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities.	Math. Soc. Sci.	2016	DBLP DOI BibTeX RDF
18	Stefano Bosi, Patrice Fontaine, Cuong Le Van	Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international financial assets and goods markets.	Math. Soc. Sci.	2016	DBLP DOI BibTeX RDF
18	Emmanuel Lépinette	Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs.	SIAM J. Financial Math.	2016	DBLP DOI BibTeX RDF
18	Gaoyue Guo, Antoine Jacquier, Claude Martini, Leo Neufcourt	Generalized Arbitrage-Free SVI Volatility Surfaces.	SIAM J. Financial Math.	2016	DBLP DOI BibTeX RDF
18	Matteo Burzoni	Arbitrage and Hedging in Model-Independent Markets with Frictions.	SIAM J. Financial Math.	2016	DBLP DOI BibTeX RDF
18	Matteo Burzoni, Marco Frittelli, Marco Maggis	Universal arbitrage aggregator in discrete-time markets under uncertainty.	Finance Stochastics	2016	DBLP DOI BibTeX RDF
18	Yuri Kabanov, Constantinos Kardaras, Shiqi Song	No arbitrage of the first kind and local martingale numéraires.	Finance Stochastics	2016	DBLP DOI BibTeX RDF
18	Eleftherios Soulas, Dennis E. Shasha	Fast Methods for Statistical Arbitrage.	Data Stream Management	2016	DBLP DOI BibTeX RDF
18	Huisu Jang, Jaewook Lee 0001	A general framework for building machine learning models for pricing american index options with no-arbitrage and its limitation.	MIDAS@PKDD/ECML	2016	DBLP BibTeX RDF
18	Adrian Fratean, Petru Dobra, Marius Rad	Demand scheduling and predictive control opportunities for local energy production arbitrage: Smart buildings applications as a component of smart cities.	AQTR	2016	DBLP DOI BibTeX RDF
18	Massimo Ceraolo, Giovanni Lutzemberger, Davide Poli, V. Ruge, Bernhard Bachmann	Dynamic optimisation of price arbitrage techniques.	RTSI	2016	DBLP DOI BibTeX RDF
18	Christian Kroer, Miroslav Dudík, Sébastien Lahaie, Sivaraman Balakrishnan	Arbitrage-Free Combinatorial Market Making via Integer Programming.	EC	2016	DBLP DOI BibTeX RDF
18	Chao Li 0051, Kory W. Hedman, Muhong Zhang	Electric Energy Storage Arbitrage in Electric Power Markets with Wind Uncertainty.	HICSS	2016	DBLP DOI BibTeX RDF
18	Hui-Huang Tsai, Mu-En Wu, Wei-Ho Chung, Cheng-Yu Lu	On the Study of Trading Strategies Within Limited Arbitrage Based on SVM.	ICGEC	2016	DBLP DOI BibTeX RDF
18	Daniel Balouek-Thomert	Scheduling on Clouds considering energy consumption and performance trade-offs : from modelization to industrial applications. (Ordonnancement sur Clouds avec arbitrage entre la performance et la consommation d'énergie : de la modélisation aux applications industrielles).		2016	RDF
18	Ruggiero Cavallo, R. Preston McAfee, Sergei Vassilvitskii	Display Advertising Auctions with Arbitrage.	ACM Trans. Economics and Comput.	2015	DBLP DOI BibTeX RDF
18	Hadi Khani, Mohammad R. Dadash Zadeh	Real-Time Optimal Dispatch and Economic Viability of Cryogenic Energy Storage Exploiting Arbitrage Opportunities in an Electricity Market.	IEEE Trans. Smart Grid	2015	DBLP DOI BibTeX RDF
18	R. Ghasemy Yaghin, S. M. T. Fatemi Ghomi, S. Ali Torabi	A hybrid credibility-based fuzzy multiple objective optimisation to differential pricing and inventory policies with arbitrage consideration.	Int. J. Syst. Sci.	2015	DBLP DOI BibTeX RDF
18	Weinan Zhang 0001, Jun Wang 0012	Statistical Arbitrage Mining for Display Advertising.	CoRR	2015	DBLP BibTeX RDF
18	Alessandro Staino, Emilio Russo	A moment-matching method to generate arbitrage-free scenarios.	Eur. J. Oper. Res.	2015	DBLP DOI BibTeX RDF
18	Huy N. Chau, Peter Tankov	Market Models with Optimal Arbitrage.	SIAM J. Financial Math.	2015	DBLP DOI BibTeX RDF
18	Paolo Guasoni, Miklós Rásonyi	Fragility of arbitrage and bubbles in local martingale diffusion models.	Finance Stochastics	2015	DBLP DOI BibTeX RDF
18	Tahir Choulli, Jun Deng, Junfeng Ma	How non-arbitrage, viability and numéraire portfolio are related.	Finance Stochastics	2015	DBLP DOI BibTeX RDF
18	Kai Yao 0002	A no-arbitrage theorem for uncertain stock model.	Fuzzy Optim. Decis. Mak.	2015	DBLP DOI BibTeX RDF
18	Marek Petrik, Xiaojian Wu	Optimal Threshold Control for Energy Arbitrage with Degradable Battery Storage.	UAI	2015	DBLP BibTeX RDF
18	Weinan Zhang 0001, Jun Wang 0012	Statistical Arbitrage Mining for Display Advertising.	KDD	2015	DBLP DOI BibTeX RDF
18	Andrew Todd, Peter A. Beling, William T. Scherer	Order Routing and Arbitrage Opportunities in a Multi-Market Trading Simulation.	SSCI	2015	DBLP DOI BibTeX RDF
18	Stan Palasek	Arbitrage-free exchange rate ensembles over a general trade network.	CoRR	2014	DBLP BibTeX RDF
18	Asif Haque	Transit Fare Arbitrage: Case Study of San Francisco Bay Area Rapid Transit (BART) System.	CoRR	2014	DBLP BibTeX RDF
18	Bing-Rong Lin, Daniel Kifer	On Arbitrage-free Pricing for General Data Queries. (PDF / PS)	Proc. VLDB Endow.	2014	DBLP DOI BibTeX RDF
18	Alois Geyer, Michael Hanke, Alex Weissensteiner	No-arbitrage bounds for financial scenarios.	Eur. J. Oper. Res.	2014	DBLP DOI BibTeX RDF
18	Marek Capinski, Tomasz Zastawniak	No arbitrage in a simple credit risk model.	Appl. Math. Lett.	2014	DBLP DOI BibTeX RDF
18	Winslow Strong	Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage.	SIAM J. Financial Math.	2014	DBLP DOI BibTeX RDF
18	Irene Klein, Emmanuel Lépinette, Lavinia Perez-Ostafe	Asymptotic arbitrage with small transaction costs.	Finance Stochastics	2014	DBLP DOI BibTeX RDF
18	Yicheng Wei, Junzo Watada	Building a type-2 fuzzy regression model based on credibility theory and its application on arbitrage pricing theory.	FUZZ-IEEE	2014	DBLP DOI BibTeX RDF
18	Jarley Palmeira Nóbrega, Adriano L. I. Oliveira	A combination forecasting model using machine learning and Kalman filter for statistical arbitrage.	SMC	2014	DBLP DOI BibTeX RDF
18	Yiling Chen 0001, Nikhil R. Devanur, David M. Pennock, Jennifer Wortman Vaughan	Removing arbitrage from wagering mechanisms.	EC	2014	DBLP DOI BibTeX RDF
18	James R. Cruise, Richard J. Gibbens, Stan Zachary	Optimal control of storage for arbitrage, with applications to energy systems.	CISS	2014	DBLP DOI BibTeX RDF
18	Haitao Li, Tao Li, Cindy Yu	No-Arbitrage Taylor Rules with Switching Regimes.	Manag. Sci.	2013	DBLP DOI BibTeX RDF
18	Ursula Redmond, Pádraig Cunningham	A temporal network analysis reveals the unprofitability of arbitrage in The Prosper Marketplace.	Expert Syst. Appl.	2013	DBLP DOI BibTeX RDF
18	Anupam A. Thatte, Le Xie 0001, Daniel E. Viassolo, Sunita Singh	Risk Measure Based Robust Bidding Strategy for Arbitrage Using a Wind Farm and Energy Storage.	IEEE Trans. Smart Grid	2013	DBLP DOI BibTeX RDF
18	Kai Du, Ariel David Neufeld	A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability.	J. Appl. Probab.	2013	DBLP DOI BibTeX RDF
18	Oren Anava, Elad Hazan, Shie Mannor	Online Learning for Loss Functions with Memory and Applications to Statistical Arbitrage	CoRR	2013	DBLP BibTeX RDF
18	Woondong Yeo, Seonho Kim, Byoung-Youl Coh, Jaewoo Kang	A quantitative approach to recommend promising technologies for SME innovation: a case study on knowledge arbitrage from LCD to solar cell.	Scientometrics	2013	DBLP DOI BibTeX RDF
18	Johanna L. Mathieu, Maryam Kamgarpour, John Lygeros, Duncan S. Callaway	Energy arbitrage with thermostatically controlled loads.	ECC	2013	DBLP DOI BibTeX RDF
18	Elaine Wah, Michael P. Wellman	Latency arbitrage, market fragmentation, and efficiency: a two-market model.	EC	2013	DBLP DOI BibTeX RDF
18	Jarley Palmeira Nóbrega, Adriano Lorena Inácio de Oliveira	Improving the Statistical Arbitrage Strategy in Intraday Trading by Combining Extreme Learning Machine and Support Vector Regression with Linear Regression Models.	ICTAI	2013	DBLP DOI BibTeX RDF
18	Roman Kozhan, Wing Wah Tham	Execution Risk in High-Frequency Arbitrage.	Manag. Sci.	2012	DBLP DOI BibTeX RDF
18	Eric Overby, Jonathan Clarke	A Transaction-Level Analysis of Spatial Arbitrage: The Role of Habit, Attention, and Electronic Trading.	Manag. Sci.	2012	DBLP DOI BibTeX RDF
18	Shu-Hsien Liao 0001, Shao-ling Lu, Yung-wei Lai	Mining the hedge and arbitrage of the Taiwan foreign exchange market.	Expert Syst. Appl.	2012	DBLP DOI BibTeX RDF
18	Martin Le Doux Mbele Bidima, Miklós Rásonyi	On long-term arbitrage opportunities in Markovian models of financial markets.	Ann. Oper. Res.	2012	DBLP DOI BibTeX RDF
18	Javier Peña 0001, Juan Carlos Vera 0001, Luis F. Zuluaga	Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads.	Eur. J. Oper. Res.	2012	DBLP DOI BibTeX RDF
18	Kai Yao	No-arbitrage determinant theorems on mean-reverting stock model in uncertain market.	Knowl. Based Syst.	2012	DBLP DOI BibTeX RDF
18	Delia Coculescu, Monique Jeanblanc, Ashkan Nikeghbali	Default times, no-arbitrage conditions and changes of probability measures.	Finance Stochastics	2012	DBLP DOI BibTeX RDF
18	Constantinos Kardaras	Market viability via absence of arbitrage of the first kind.	Finance Stochastics	2012	DBLP DOI BibTeX RDF
18	Emmanuel Denis, Yuri Kabanov	Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs.	Finance Stochastics	2012	DBLP DOI BibTeX RDF
18	Julien Grépat, Yuri Kabanov	Small transaction costs, absence of arbitrage and consistent price systems.	Finance Stochastics	2012	DBLP DOI BibTeX RDF
18	Aleksandar Mijatovic, Mikhail Urusov	Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models.	Finance Stochastics	2012	DBLP DOI BibTeX RDF
18	Kostas Triantafyllopoulos	Detecting Mean Reverted Patterns in Statistical Arbitrage.	ICPRAM (1)	2012	DBLP BibTeX RDF
18	B. Ross Barmish, James A. Primbs	On market-neutral stock trading arbitrage via linear feedback.	ACC	2012	DBLP DOI BibTeX RDF
18	Zheng Zhang	A Neural Network Model for Currency Arbitrage Detection.	ISNN (1)	2012	DBLP DOI BibTeX RDF
18	Takashi Hasuike, Hideki Katagiri, Hiroshi Tsuda	Robust random fuzzy portfolio selection model with Arbitrage Pricing Theory using TS fuzzy reasoning method.	SCIS&ISIS	2012	DBLP DOI BibTeX RDF
18	Dario Bernardo, Hani Hagras, Edward P. K. Tsang	An interval type-2 Fuzzy Logic based system for model generation and summarization of arbitrage opportunities in stock markets.	UKCI	2012	DBLP DOI BibTeX RDF
18	Yu-Chia Hsu, An-Pin Chen, Jia-Haur Chang	An inter-market arbitrage trading system based on extended classifier systems.	Expert Syst. Appl.	2011	DBLP DOI BibTeX RDF
18	M. Consuelo Casabán, Rafael Company, Lucas Jódar, José Ramón Pintos	Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives.	Comput. Math. Appl.	2011	DBLP DOI BibTeX RDF
18	Kostas Triantafyllopoulos, Giovanni Montana	Dynamic modeling of mean-reverting spreads for statistical arbitrage.	Comput. Manag. Sci.	2011	DBLP DOI BibTeX RDF
18	Elias G. Carayannis, M. Provance, Nathaniel Givens	Knowledge Arbitrage, Serendipity, and Acquisition Formality: Their Effects on Sustainable Entrepreneurial Activity in Regions.	IEEE Trans. Engineering Management	2011	DBLP DOI BibTeX RDF
18	Robert G. Chambers, Rolf Färe	Efficiency analysis, shortage functions, arbitrage, and martingales.	Eur. J. Oper. Res.	2011	DBLP DOI BibTeX RDF
18	Rudra P. Jena, Peter Tankov	Arbitrage Opportunities in Misspecified Stochastic Volatility Models.	SIAM J. Financial Math.	2011	DBLP DOI BibTeX RDF
18	Teemu Pennanen	Arbitrage and deflators in illiquid markets.	Finance Stochastics	2011	DBLP DOI BibTeX RDF
18	B. Ross Barmish, James A. Primbs	On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market.	CDC/ECC	2011	DBLP DOI BibTeX RDF
18	Javier Peña 0001, Xavier Saynac, Juan Carlos Vera 0001, Luis Fernando Zuluaga	Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition.	Algorithmic Oper. Res.	2010	DBLP BibTeX RDF
18	Rachida Ouysse, Robert Kohn	Bayesian variable selection and model averaging in the arbitrage pricing theory model.	Comput. Stat. Data Anal.	2010	DBLP DOI BibTeX RDF
18	Alois Geyer, Michael Hanke, Alex Weissensteiner	No-arbitrage conditions, scenario trees, and multi-asset financial optimization.	Eur. J. Oper. Res.	2010	DBLP DOI BibTeX RDF
18	Eric Overby, Jonathan Clarke	Does Electronic Trading Improve Market Efficiency? Evidence from Spatial Arbitrage in the Automotive Market.	ICIS	2010	DBLP BibTeX RDF
18	Jean-Rémi Bourguet	Contribution aux méthodes d'argumentation pour la prise de décision. Application à l'arbitrage au sein de la filière céréalière. (Contribution to the methods of argumentation for decision making. Application to arbitration within the cereal industry).		2010	RDF
18	Giovanni Montana, Kostas Triantafyllopoulos, Theodoros Tsagaris	Flexible least squares for temporal data mining and statistical arbitrage.	Expert Syst. Appl.	2009	DBLP DOI BibTeX RDF
18	Jungmin Choi, Max D. Gunzburger	Option pricing in the presence of random arbitrage return.	Int. J. Comput. Math.	2009	DBLP DOI BibTeX RDF
18	Vittorio Moriggia, Silvia Muzzioli, Costanza Torricelli	On the no-arbitrage condition in option implied trees.	Eur. J. Oper. Res.	2009	DBLP DOI BibTeX RDF
18	Shuhong Fang	On Optimal Risk/Return-Efficient Arbitrage Portfolio.	BIFE	2009	DBLP DOI BibTeX RDF
18	Mao-cheng Cai, Xiaotie Deng	Arbitrage in Frictional Foreign Exchange Market.	Encyclopedia of Algorithms	2008	DBLP DOI BibTeX RDF
18	Liuren Wu, Frank Xiaoling Zhang	A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure.	Manag. Sci.	2008	DBLP DOI BibTeX RDF
18	Tian-Ming Bu, Xiaotie Deng, Qi Qi 0003	Arbitrage opportunities across sponsored search markets.	Theor. Comput. Sci.	2008	DBLP DOI BibTeX RDF
18	Sintiani Dewi Teddy, Edmund Ming-Kit Lai, Hiok Chai Quek	A cerebellar associative memory approach to option pricing and arbitrage trading.	Neurocomputing	2008	DBLP DOI BibTeX RDF
18	Saul Jacka, Abdelkarem Berkaoui, Jon Warren	No arbitrage and closure results for trading cones with transaction costs.	Finance Stochastics	2008	DBLP DOI BibTeX RDF
18	Martin Schweizer, Johannes Wissel	Arbitrage-free market models for option prices: the multi-strike case.	Finance Stochastics	2008	DBLP DOI BibTeX RDF
18	Dmitry B. Rokhlin	Asymptotic arbitrage and numéraire portfolios in large financial markets.	Finance Stochastics	2008	DBLP DOI BibTeX RDF