Essays about: "Arbitrage Pricing"
Showing result 1 - 5 of 39 essays containing the words Arbitrage Pricing.
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1. Spatial Price Equilibrium in the World Natural Gas Market
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : Characteristic for the world natural gas market is that the markets in different continents are not completely integrated. In some cases, this leads to exceptionally large price differences. There are two reasons for this; first the technical difficulties related to shipping natural gas, second the pricing mechanism of the natural gas market. READ MORE
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2. Car Dealership Markups
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The scope of this analysis is to evaluate what may affect the percentage markup on new and used cars sold by dealerships across the United States. The essay will also take into account shocks to market demand and supply as relevant factors that may affect markup. READ MORE
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3. Residual Momentum and Volatility – Managed Portfolios : A Study on the Swedish Equity Market
University essay from KTH/Fastighetsföretagande och finansiella systemAbstract : In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. READ MORE
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4. Option Modelling by Deep Learning
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. READ MORE
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5. An Empirical Study of Autoencoder Asset Pricing Models and the Impact of Arbitrage Constraints
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Following Gu et al. (2021), we implement a state-of-the-art machine learning asset pricing model, the conditional autoencoder, to capture the time-varying interactions between observable stock characteristics and factor loadings, while simultaneously extracting latent factors from stock returns. READ MORE