Holding Costs and Equilibrium Arbitrage (Classic Reprint)
Language: English
Published by Forgotten Books, 2018
- Softcover
- New
Seller: Forgotten Books, London, United KingdomForgotten Books
AbeBooks seller since June 2, 2021
Condition: New
£ 13.39
Quantity: Over 20 available
Add to basketItem description from seller
Print on Demand. This book explores equilibrium pricing in financial markets when investors face holding costs, which arise when shorting a stock or commodity. Unlike traditional models, this book allows for risk-averse arbitrageurs and acknowledges that market mispricing and arbitrage activity can coexist in equilibrium. The author presents a dynamic model that considers liquidity shocks, investor demand, and arbitrageur behavior. Numerical examples illustrate that arbitrageurs can reduce, but not eliminate, market mispricing, thus challenging models that rely on riskless arbitrage alone. Moreover, the model suggests that the effectiveness of arbitrage depends on the characteristics of the mispricing process. Mean reversion is not constant but rather a non-linear function of the mispricing level, implying that empirical studies assuming a constant mean reversion coefficient may be misspecified. The author argues that the dynamic relationship between mispricing and arbitrage activity has significant implications for the understanding of market equilibrium and the arbitrage industry. By providing rigorous theoretical analysis and numerical examples, this book enriches our understanding of how market prices are formed and maintained in the presence of frictions and arbitrage. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book.…
Seller Inventory # 9781332263950_0
- Title
- Holding Costs and Equilibrium Arbitrage (Classic Reprint)
- Author
- Bruce Tuckman, Jean-Luc Vila
- Publisher
- Forgotten Books
- Publication year
- 2018
- Condition
- New
- Book Type
- print-on-demand item
- Binding
- Paperback
- Language
- English
- ISBN 10
- 133226395X
- ISBN 13
- 9781332263950
- Seller catalogs
- Business Investment
When holding costs arise because of foregone interest, this result follows easily.
About the Publisher
Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com
This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
"Synopsis" may belong to another edition of this title.
Forgotten Books
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Forgotten Books’ Classic Reprint Series utilizes the latest technology to regenerate facsimiles of historically important writings. Careful attention has been made to accurately preserve the original format of each page whilst digitally enhancing the quality of the aged text.
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Forgotten Books publishes hundreds of thousands of rare and classic books.
This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
This text has been digitally restored from a historical edition. Some errors may persist, however we consider it worth publishing due to the work's historical value.
The digital edition of all books may be viewed before purchase if you request a sample.
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