مقاله انگلیسی رایگان در مورد ناسازگاری در نقل قول های بازار اوراق قرضه ( الزویر )

مقاله سال 2017

The notion of arbitrage plays a key role in the financial theory. Many, if not all asset pricing frameworks include a no-arbitrage supposition. However, when applied to the real data, some frameworks often result in arbitrage opportunities. This does not necessarily imply the existence of real-world arbitrage opportunities. Theoretical arbitrage opportunities (which we call inconsistencies in the paper to avoid the word ‘arbitrage’) may be caused by various factors, real examples of which will follow in the main body of the paper.

features like taxation, transaction costs or other hindrances. Or it could just be not accurate enough for this particular dataset. 2. Non-homogeneous data. The framework could be OK, but our assumptions about the data might be wrong. One particular case of assumption violation which we consider in this article is non-homogeneity of the dataset – the framework assumes that the dataset contains similar financial instruments, whereas in fact some of the instruments are fundamentally different and should not be part of this dataset.

Insufficient data quality. The data itself can be of poor quality – it might contain outliers, obsolete values, etc. This might result in the framework indicating that there are arbitrage opportunities while it is really the effect of data errors.