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SUMMARY:Approximate arbitrage with limit orders
DTSTART:20190620T110000
DTEND:20190620T120000
DTSTAMP:20260407T184052Z
UID:a9c27339f85c34c14e4f585cf99332bc95d26e2be1d2ad88815d68ed
CATEGORIES:Conferences - Seminars
DESCRIPTION:Davide TEDESCHINI\, Università della Svizzera italiana\nAlmos
 t riskless investment opportunities represent a fundamental innovation of 
 the recent developments in asset pricing theory. In this paper\, I introdu
 ce a related trading scheme involving two options and two asynchronous ope
 rations:\na limit order for one of the assets and a market order for the o
 ther one\, once the limit order is executed. A model integrating option pr
 icing and order arrivals explains the proximity of this strategy to a pure
  arbitrage. In particular\, satisfying the requisites of the approximate a
 rbitrage opportunities\, I therefore refer to it as a limit order approxim
 ate arbitrage. An empirical study on a novel option data set con firms tha
 t market participants actively invest in these trades. The analysis also r
 eveals the presence of short-living pure arbitrage opportunities in the ma
 rket\, promptly taken by the arbitrageurs.
LOCATION:UNIL\, Extranef\, room 118 https://planete.unil.ch/plan/?local=EX
 T-118.1
STATUS:CONFIRMED
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