A multivariate technique named Canonical Concordance Correlation Analysis (CCCA) is introduced. In contrast to the classical (CCA) which based on maximization of Pearson’s correlation coefficient between linear combinations two sets variables, CCCA maximizes Lin’s concordance accounts not just for maximum but also closeness aggregates’ mean values and their variances. While CCA employs centered...

The aim of this research work is to define and characterize a new class of n-ary multialgebra that may be called canonical (m, n)&minus hypermodules. These are a generalization of canonical n-ary hypergroups, that is a generalization of hypermodules in the sense of canonical and a subclasses of (m, n)&minusary hypermodules. In addition, three isomorphism theorems of module theory and canonical ...

This paper develops a test of the asymptotic arbitrage pricing theory (APT) via the maximum squared Sharpe ratio of the factors extracted from individual stocks using the Connor-Korajczyk method. The test treats the beta pricing relation as approximate without predetermining the systematic factors, unlike the existing tests that take the relationship as exact and systematic factors as given. Th...

This paper reevaluates the mathematical and economic meaning of no arbitrage in frictionless markets. Contrary to the traditional view, no arbitrage is not generally equivalent to the existence of an equivalent martingale measure. Departures from this equivalence allow asset prices to contain a monetary component. The refined view is that no arbitrage and no private monetary value components ar...

In reality, markets are incomplete, meaning that some payoffs cannot be replicated by trading in marketed securities. The classic no-arbitrage theory of valuation in a complete market, based on the unique price of a self-financing replicating portfolio, is not adequate for nonreplicable payoffs in incomplete markets. We focus on pricing over-the-counter derivative securities, surveying many pro...

In this paper we derive an effective equation for derivative pricing which accounts for the presence of virtual arbitrage opportunities and their elimination by the market. We model the arbitrage return by a stochastic process and find an equation for the average derivative price. This is an integro-differential equation which, in the absence of the virtual arbitrage or for an infinitely fast m...