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Double Exponential Instability of Triangular Arbitrage Systems
Limits to arbitrage Recurrent sequences Matrix products Asynchronous systems
2012/4/28
This paper investigates arbitrage chains involving d currencies and d foreign exchange trader-arbitrageurs. The commonly recognized belief in economics and finance is that arbitrage has the effect of ...
Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities
credit derivatives credit risk credit default swap inter-temporal relations between markets
2010/11/3
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial inn...