The Experts below are selected from a list of 123 Experts worldwide ranked by ideXlab platform
Chris Brooks - One of the best experts on this subject based on the ideXlab platform.
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The Determinants of a Cross Market Arbitrage Opportunity: Theory and Evidence for the European Bond Market
SSRN Electronic Journal, 2020Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris BrooksAbstract:The focus of this paper is on the study of the drivers of a cross market Arbitrage profit. Many papers have investigated the risk of trading Arbitrage opportunities and the empirical existence of these events at the high frequency level for different markets. But none of the previous work has asked the simple question of how these events are formed in the first place. That is, what are the drivers behind the occurrence of a risk free profit Opportunity? In this paper we investigate the theoretical (and empirical) implications of a cross platform Arbitrage profit. Following a microstructure model we show that this event is the result of microstructure frictions in trading. We are able to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level of which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). In the second (empirical) part of the paper, we investigate the predictions from the theoretical model for the European Bond market with an event study framework and also using a formal econometric estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly with the predictions from the structural model. The event of an Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.
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the determinants of a cross market Arbitrage Opportunity theory and evidence for the european bond market
Annals of Finance, 2014Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris BrooksAbstract:This paper examines the determinants of cross-platform Arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade. Copyright Springer-Verlag Berlin Heidelberg 2014
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The determinants of a cross market Arbitrage Opportunity: theory and evidence for the European bond market
Annals of Finance, 2013Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris BrooksAbstract:This paper examines the determinants of cross-platform Arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.
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The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market
2010Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris BrooksAbstract:The focus of this paper is on the study of the drivers of a cross market Arbitrage profit. Many papers have investigated the risk of trading Arbitrage opportunities and the empirical existence of these events at the high frequency level for different markets. But none of the previous work has asked the simple question of how these events are formed in the first place. That is, what are the drivers behind the occurrence of a risk free profit Opportunity? In this paper we investigate the theoretical (and empirical) implications of a cross platform Arbitrage profit. Following a microstructure model we show that this event is the result of microstructure frictions in trading. We are able to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level of which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). In the second (empirical) part of the paper, we investigate the predictions from the theoretical model for the European Bond market with an event study framework and also using a formal econometric estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly with the predictions from the structural model. The event of an Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.
Marcelo Perlin - One of the best experts on this subject based on the ideXlab platform.
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The Determinants of a Cross Market Arbitrage Opportunity: Theory and Evidence for the European Bond Market
SSRN Electronic Journal, 2020Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris BrooksAbstract:The focus of this paper is on the study of the drivers of a cross market Arbitrage profit. Many papers have investigated the risk of trading Arbitrage opportunities and the empirical existence of these events at the high frequency level for different markets. But none of the previous work has asked the simple question of how these events are formed in the first place. That is, what are the drivers behind the occurrence of a risk free profit Opportunity? In this paper we investigate the theoretical (and empirical) implications of a cross platform Arbitrage profit. Following a microstructure model we show that this event is the result of microstructure frictions in trading. We are able to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level of which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). In the second (empirical) part of the paper, we investigate the predictions from the theoretical model for the European Bond market with an event study framework and also using a formal econometric estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly with the predictions from the structural model. The event of an Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.
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the determinants of a cross market Arbitrage Opportunity theory and evidence for the european bond market
Annals of Finance, 2014Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris BrooksAbstract:This paper examines the determinants of cross-platform Arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade. Copyright Springer-Verlag Berlin Heidelberg 2014
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The determinants of a cross market Arbitrage Opportunity: theory and evidence for the European bond market
Annals of Finance, 2013Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris BrooksAbstract:This paper examines the determinants of cross-platform Arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.
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The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market
2010Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris BrooksAbstract:The focus of this paper is on the study of the drivers of a cross market Arbitrage profit. Many papers have investigated the risk of trading Arbitrage opportunities and the empirical existence of these events at the high frequency level for different markets. But none of the previous work has asked the simple question of how these events are formed in the first place. That is, what are the drivers behind the occurrence of a risk free profit Opportunity? In this paper we investigate the theoretical (and empirical) implications of a cross platform Arbitrage profit. Following a microstructure model we show that this event is the result of microstructure frictions in trading. We are able to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level of which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). In the second (empirical) part of the paper, we investigate the predictions from the theoretical model for the European Bond market with an event study framework and also using a formal econometric estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly with the predictions from the structural model. The event of an Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.
Alfonso Dufour - One of the best experts on this subject based on the ideXlab platform.
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The Determinants of a Cross Market Arbitrage Opportunity: Theory and Evidence for the European Bond Market
SSRN Electronic Journal, 2020Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris BrooksAbstract:The focus of this paper is on the study of the drivers of a cross market Arbitrage profit. Many papers have investigated the risk of trading Arbitrage opportunities and the empirical existence of these events at the high frequency level for different markets. But none of the previous work has asked the simple question of how these events are formed in the first place. That is, what are the drivers behind the occurrence of a risk free profit Opportunity? In this paper we investigate the theoretical (and empirical) implications of a cross platform Arbitrage profit. Following a microstructure model we show that this event is the result of microstructure frictions in trading. We are able to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level of which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). In the second (empirical) part of the paper, we investigate the predictions from the theoretical model for the European Bond market with an event study framework and also using a formal econometric estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly with the predictions from the structural model. The event of an Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.
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the determinants of a cross market Arbitrage Opportunity theory and evidence for the european bond market
Annals of Finance, 2014Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris BrooksAbstract:This paper examines the determinants of cross-platform Arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade. Copyright Springer-Verlag Berlin Heidelberg 2014
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The determinants of a cross market Arbitrage Opportunity: theory and evidence for the European bond market
Annals of Finance, 2013Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris BrooksAbstract:This paper examines the determinants of cross-platform Arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.
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The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market
2010Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris BrooksAbstract:The focus of this paper is on the study of the drivers of a cross market Arbitrage profit. Many papers have investigated the risk of trading Arbitrage opportunities and the empirical existence of these events at the high frequency level for different markets. But none of the previous work has asked the simple question of how these events are formed in the first place. That is, what are the drivers behind the occurrence of a risk free profit Opportunity? In this paper we investigate the theoretical (and empirical) implications of a cross platform Arbitrage profit. Following a microstructure model we show that this event is the result of microstructure frictions in trading. We are able to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level of which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). In the second (empirical) part of the paper, we investigate the predictions from the theoretical model for the European Bond market with an event study framework and also using a formal econometric estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly with the predictions from the structural model. The event of an Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.
Pin T Ng - One of the best experts on this subject based on the ideXlab platform.
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stochastic dominance via quantile regression with applications to investigate Arbitrage Opportunity and market efficiency
European Journal of Operational Research, 2017Co-Authors: Pin T Ng, Wingkeung Wong, Zhijie XiaoAbstract:Tests for stochastic dominance constructed by translating the inference problem of stochastic dominance into parameter restrictions in quantile regressions are proposed. They are variants of the one-sided Kolmogorov–Smirnoff statistic with a limiting distribution of the standard Brownian bridge. The procedure to obtain the critical values of our proposed test statistics are provided. Simulation results show their superior size and power. They are applied to the NASDAQ 100 and S&P 500 indices to investigate dominance relationship before and after major turning points. Results show no Arbitrage Opportunity between the bear and bull markets. Our results infer that markets are inefficient and risk averters are better off investing in the bull rather than the bear market.
Wingkeung Wong - One of the best experts on this subject based on the ideXlab platform.
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stochastic dominance and omega ratio measures to examine market efficiency Arbitrage Opportunity and anomaly
Economies, 2017Co-Authors: Xuejun Jiang, Wingkeung WongAbstract:Both stochastic dominance and Omegaratio can be used to examine whether the market is efficient, whether there is any Arbitrage Opportunity in the market and whether there is any anomaly in the market. In this paper, we first study the relationship between stochastic dominance and the Omega ratio. We find that second-order stochastic dominance (SD) and/or second-order risk-seeking SD (RSD) alone for any two prospects is not sufficient to imply Omega ratio dominance insofar that the Omega ratio of one asset is always greater than that of the other one. We extend the theory of risk measures by proving that the preference of second-order SD implies the preference of the corresponding Omega ratios only when the return threshold is less than the mean of the higher return asset. On the other hand, the preference of the second-order RSD implies the preference of the corresponding Omega ratios only when the return threshold is larger than the mean of the smaller return asset. Nonetheless, first-order SD does imply Omega ratio dominance. Thereafter, we apply the theory developed in this paper to examine the relationship between property size and property investment in the Hong Kong real estate market. We conclude that the Hong Kong real estate market is not efficient and there are expected Arbitrage opportunities and anomalies in the Hong Kong real estate market. Our findings are useful for investors and policy makers in real estate.
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stochastic dominance via quantile regression with applications to investigate Arbitrage Opportunity and market efficiency
European Journal of Operational Research, 2017Co-Authors: Pin T Ng, Wingkeung Wong, Zhijie XiaoAbstract:Tests for stochastic dominance constructed by translating the inference problem of stochastic dominance into parameter restrictions in quantile regressions are proposed. They are variants of the one-sided Kolmogorov–Smirnoff statistic with a limiting distribution of the standard Brownian bridge. The procedure to obtain the critical values of our proposed test statistics are provided. Simulation results show their superior size and power. They are applied to the NASDAQ 100 and S&P 500 indices to investigate dominance relationship before and after major turning points. Results show no Arbitrage Opportunity between the bear and bull markets. Our results infer that markets are inefficient and risk averters are better off investing in the bull rather than the bear market.
