The asymmetric information plays critical role in all economics. In the presence of asymmetric information in a given market, market prices of assets are different with those prices under the no arbitrage assumption. It has fundamental effects on the market equilibrium. [1] consi...
Open access
Research Article10.9734/ARJOM/2017/29175
In this paper, the Kalman filter for a variance term of state space models is derived. First, it is assumed that the innovation term of state space model have a GARCH structure and the Kalman filter is derived. Then, it is assumed that the error term of observation equation is GA...
Open access
Research Article10.9734/ARJOM/2017/29172
The Edgeworth expansion plays important role in approximating the distribution function, specially the tail probabilities of a complicated statistic. For example, sometimes, the test statistic, in hand, is too complicated and deriving its quantiles is too hard. However, these qua...
Open access
Research Article10.9734/ARJOM/2016/27313
Pairs trading are standard approaches for statistical arbitrage detection. The logic behind pair trading approach is to construct a portfolio of two financial assets with special weights where this portfolio has zero value in time zero and creates positive value with a high proba...
Open access
Research Article10.9734/ARJOM/2016/27315
In this note, an asymmetric coin game is studied. The winning scheme of Skeptic is given. Also, the mixed strategy and arbitrage opportunity are considered.
Open access
Research Article10.9734/ARJOM/2016/27312
This paper uses the dynamic programming to detect the optimal statistical arbitrage opportunities in a market including a bond and a stock. First, it is assumed that the growth rates of stock are independent random variables and Bellman equation is derived for probability of gain...
Open access
Research Article10.9734/BJMCS/2016/25967