Questions tagged [arbitrage]
The simultaneous purchase and sale of a financial security in order to profit from the difference in the security price during the trading activity.
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HFT using Pure C [closed]
Coding for HFT (statistical arbitrage engine) without getting involved in C++.
Pure C, 8086 Assembly, Python, CUDA. Does it make sense? What is feasible?
Will I be restricted when using FPGA or ...
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How to perform volatility arbitrage between two instruments with different prices but the same realized volatility
Suppose We have two assets $S_1$ and $S_2$. They have different price, but share the same realized vol. They have corresponding options $O_1$ and $O_2$. When the ATM IV of $O_1$ and $O_2$ differ too ...
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Why does the lower arbitrage boundary of a European call on stock rise with time if F > S but fall if F < S?
I am reading "Option Volatility & Pricing", 2nd edition, by S. Natenberg.
On page 297, he explains the lower arbitrage boundary of European options. I don't understand the logic for what ...
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Forward price arbitrage
To price a forward on a stock we usually use arbitrage to find that the price of the forward is the price of the stock compounded by the risk free rate.
I don't have the data to try things, so was ...
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Arbitrage arguments for a commodity forward on investment assets
I am trying to understand the arbitrage arguments used for commodity forwards on investment assets. The theoretical price is given by $F_0 = (S_0 + U)e^{rT}$, where $U$ is the present value of all the ...
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No Arbitrage iff no generalized Arbitrage
Let’s consider a market in finite discrete time with trading dates $0,1,\dots,T$ probability space $(\Omega, \mathcal{F}, \mathbb{P})$, filtration $\{\mathcal{F_t}\}_{t \in \{0,1, \dots, T\}}$, $N$ ...
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Is my spread calculation correct?
I have automated Pair trading strategies running on both CME Futures and cryptocurrency perpetual pairs. I can chose between different spread calculation type and I noticed that the one I thought was ...
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Arbitrage between one touch option and vanilla option
I recently came across this question, which is if you have a one touch option which the market has priced in X% of touching the barrier, and a vanilla call option on the same underlying and maturity ...
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Application of Reciprocal Currency Rates and Triangular Arbitrage in FX Trading
After nearly a decade as a software engineer in finance, I find myself grappling with a question about FX trading that I've always hesitated to ask, particularly concerning the calculation of ...
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How to find arbitrage in a one period binomial model?
Here is the setup:
one period binomial model
The market has three assets: bank account $B$, asset $S$, and asset $K$
$r = 0$, so payoff for asset invested at bank at any $t$ is $1$
$S_0 = 100, S_u = ...
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Now that Zipline is no longer being maintained. What back testing alternative would you recommend
I am building a self hosted stack so there has been a lot of trial and error in order to head off a headache or two I thought I would reach out for a group opinion. I am evaluating back testers and I ...
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Showing a basic market admits no arbitrage
I'm learning the fundamentals of financial mathematics and came across the following problem I cannot solve
Setting
We work in $\left(\Omega, \mathcal{F},\left(\mathcal{F}_t\right)_{t=0}^1, \mathbb{P}\...
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Market Fragmentation
Consider a scenario where a security can be exchanged on two exchanges A and B. A trader who has access to A and B with same execution probabilities submit an order and split it between A and B ...
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How to arbitrage options prices against prediction markets?
Suppose we have both put/call European-style options market and price prediction market on same underlying asset and same expiration date.
How can one arbitrage one against the other?
It seems that ...
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Arbitrage opportunities [closed]
I want to write a program that can find arbitrage in the curve of call prices for different strike K.
So if I have a time serie with the price of call prices for different strikes and same time to ...
