Statistical arbitrage identifies and exploits temporal price differences between similar assets. We propose a unifying conceptual framework for statistical develop novel deep learning solution, which finds commonality time-series patterns from large panels in data-driven flexible way. First, we construct portfolios of assets as residual conditional latent asset pricing factors. Second, extract ...

We estimate the slope of the Marshallian demand curve for newly auctioned FHLB discount notes and investigate the impacts of arbitrage risk and heterogeneity of beliefs on demand elasticity. Our dataset contains roughly 2,900 observations of two price-quantity pairs—the first from a pre-auction dealer survey, the second from actual auction results. Using this unique dataset, we find that demand...

The hedging of contingent claims in the discrete time, discrete state case is analyzed from the perspective of modeling the hedging problem as a stochastic program. Application of conjugate duality leads to the arbitrage pricing theorems of financial mathematics, namely the equivalence of absence of arbitrage and the existence of a probability measure that makes the price process into a marting...

No-arbitrage is the fundamental principle of economic rationality which unifies normative decision theory, game theory, and market theory. In economic environments where money is available as a medium of measurement and exchange, no-arbitrage is synonymous with subjective expected utility maximization in personal decisions, competitive equilibria in capital markets and exchange economies, and c...