Download or read book Self imposed Limits to Arbitrage written by Philip Z. Maymin and published by . This book was released on 2007 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: I document a multi-billion dollar discrepancy that lasted from 1992 to 1999 between two otherwise identical share classes of HSBC that did not suffer from the external limits to arbitrage that traditionally explain such other mispriced pairs as 3Com/Palm or Royal Dutch-Shell. Instead, I describe how self-imposed, internal limits to arbitrage such as restrictions on position size can result in persistent mispricings.
Download or read book Self Imposed Limits to Arbitrage written by Philip Maymin and published by . This book was released on 2011 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: A multi-billion-dollar, multi-year discrepancy between two identical share classes of HSBC did not suffer from traditional external limits to arbitrage such as transactions costs and risk measures. One possible explanation is that self-imposed limits to arbitrage (SILTA) such as internal restrictions on position size allowed persistent mispricings. SILTA predicts a novel negative relation between relative volume and relative price. This prediction from SILTA holds not only for HSBC, but also other large mispriced pairs such as 3Com/Palm and Royal Dutch-Shell. Indeed, the implied overall maximum position size of arbitrageurs is roughly constant at one hundred days of trading volume for various mispriced pairs spanning different time periods and countries, suggesting SILTA as a possible explanation for all of them.
Download or read book Self Imposed Limits of Arbitrage written by Philip Maymin and published by . This book was released on 2015 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: A multi-billion-dollar, multi-year discrepancy between two identical share classes of Hong Kong and Shanghai Banking Corporation (HSBC) did not suffer from traditional external limits to arbitrage such as transactions costs and risk measures. One possible explanation is that self-imposed limits to arbitrage (SILTA) such as internal restrictions on position size allowed persistent mispricings. SILTA predicts a novel negative relation between relative volume and relative price. This prediction from SILTA holds not only for HSBC, but also other large mispriced pairs such as 3Com/Palm and Royal Dutch-Shell. Indeed, the implied overall maximum position size of arbitrageurs is roughly constant at one hundred days of trading volume for various mispriced pairs spanning different time periods and countries, suggesting SILTA as a possible explanation for all of them.
Download or read book Financial Hacking Evaluate Risks Price Derivatives Structure Trades And Build Your Intuition Quickly And Easily written by Philip Z Maymin and published by World Scientific Publishing Company. This book was released on 2012-10-01 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book teaches financial engineering in an innovative way: by providing tools and a point of view to quickly and easily solve real front-office problems. Projects and simulations are not just exercises in this book, but its heart and soul. You will not only learn how to do state-of-the-art simulations and build exotic derivatives valuation models, you will also learn how to quickly make reasonable inferences based on incomplete information. This book will give you the expertise to make significant progress in understanding brand new derivatives given only a preliminary term sheet, thus making you extraordinarily valuable to banks, brokerage houses, trading floors, and hedge funds.Financial Hacking is not about long, detailed mathematical proofs or brief summaries of conventional financial theories; it is about engineering specific, useable answers to imprecise but important questions. It is an essential book both for students and for practitioners of financial engineering.MBAs in finance learn case-method and standard finance mainly by talking. Mathematical finance students learn the elegance and beauty of formulas mainly by manipulating symbols. But financial engineers need to learn how to build useful tools, and the best way to do that is to actually build them in a test environment, with only hypothetical profits or losses at stake. That's what this book does. It is like a trading desk sandbox that prepares graduate students or others looking to move closer to trading operations.
Download or read book Warren Buffett and the Art of Stock Arbitrage written by Mary Buffett and published by Simon and Schuster. This book was released on 2011-01-06 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: Give a man a fish and he eats for a day. Teach him to arbitrage, and he will eat for a lifetime' Warren Buffett Warren Buffett and the Art of the Stock Arbitrageis the first book to explore the secret world of Buffett's arbitrage and special situations investing. Long considered one of the most powerful and profitable of Buffett's investment operations, but the least understood, these special types of investments have been the edge that has made Warren Buffett the world's greatest investor. This book examines Buffett's special brand of arbitrage investing,which involves taking advantage of short term price discrepancies that often occur when one company offers to buy another companyary Buffett and David Clark, the authors of four best-selling books on Warren Buffett's investment methods, take the reader deep into the world of Buffett's arbitrage and special situation operations, giving us his strategies, his equations for determining value, and dozens of examples of his investments in this very lucrative segment of Buffett's investment operations. They offer detailed analysis and explanations of Buffett's arbitrage and special situations operations and techniques for the first time ever.
Download or read book Technical Information Release written by United States. Internal Revenue Service and published by . This book was released on 1969 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Quantitative Financial Economics written by Keith Cuthbertson and published by John Wiley & Sons. This book was released on 2005-05-05 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets. It provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. Emphasis is placed on theory, testing and explaining ‘real-world’ issues. The new edition will include: Updated charts and cases studies. New companion website allowing students to put theory into practice and to test their knowledge through questions and answers. Chapters on Monte Carlo simulation, bootstrapping and market microstructure.
Download or read book Understanding Arbitrage An Intuitive Approach To Financial Analysis written by Randall S. Billingsley and published by Pearson Education India. This book was released on 2006-09 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Theory and Empirical Analysis of Arbitrage Trading written by Craig W. Holden and published by . This book was released on 1991 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Download or read book The Efficiency of Dynamic Trading Strategies in Imperfect Markets written by Harry M. Kat and published by . This book was released on 1993 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Closed end Fund Discount written by Elroy Dimson and published by . This book was released on 2002 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2008 with total page 618 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Cyclop dia of Political Science Political Economy and of the Political History of the United States written by John Joseph Lalor and published by . This book was released on 1886 with total page 866 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Staff Report on Employment Growth and Price Levels written by United States. Congress. Joint Economic Committee and published by . This book was released on 1959 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Behavioral Risk Management written by Hersh Shefrin and published by Springer. This book was released on 2016-04-29 with total page 529 pages. Available in PDF, EPUB and Kindle. Book excerpt: The psychological dimension of managing risk is of crucial importance, and its study has led to the identification of specific do's and don'ts. Those with an understanding of the psychology underlying risk and the skills to recognize its manifestation in practice, have the opportunity to develop frameworks that embody the do's and don'ts, thereby producing sound judgments and good decisions. Those lacking the understanding and the skills are destined to be more hit and miss in their approach to risk management, doing the don'ts and not doing the do's. Virtually every major risk management catastrophe in the last fifteen years has psychological pitfalls at its root. The list of catastrophes includes the 2008 bankruptcy of Lehman Brothers and subsequent global financial crisis, the 2010 explosion at BP's Macondo well in the Gulf of Mexico and the 2011 nuclear meltdown at the Fukushima Daiichi power plant. A critical lesson from psychological studies for those involved in risk management is that people's judgments and decisions about risk vary with type of circumstance. In Behavioral Risk Management readers will learn that there are specific actions that organizations can undertake to incorporate understanding, recognition, and behavioral interventions into the practice of risk management. There are many examples throughout the book that illustrate doing the don'ts. The chapters in the first part of the book introduce the main ideas, and the chapters in the latter part provide insight into how to apply those ideas to the practical world in which risk managers operate.
Download or read book Quarterly Review Federal Reserve Bank of New York written by Federal Reserve Bank of New York and published by . This book was released on 1982 with total page 858 pages. Available in PDF, EPUB and Kindle. Book excerpt:
