Risks And returns Of fixed income arbitrage strategies in varying economic environments : a model based on empirical considerations
Thesis: S.M. in Management Studies, Massachusetts Institute of Technology, Sloan School of Management, 2014.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2014
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| Online Access: | http://hdl.handle.net/1721.1/90233 |
| _version_ | 1811079795161694208 |
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| author | Beunardeau, Roland |
| author2 | Hui Chen. |
| author_facet | Hui Chen. Beunardeau, Roland |
| author_sort | Beunardeau, Roland |
| collection | MIT |
| description | Thesis: S.M. in Management Studies, Massachusetts Institute of Technology, Sloan School of Management, 2014. |
| first_indexed | 2024-09-23T11:20:33Z |
| format | Thesis |
| id | mit-1721.1/90233 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T11:20:33Z |
| publishDate | 2014 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/902332019-04-11T05:43:20Z Risks And returns Of fixed income arbitrage strategies in varying economic environments : a model based on empirical considerations Beunardeau, Roland Hui Chen. Sloan School of Management. Sloan School of Management. Sloan School of Management. Thesis: S.M. in Management Studies, Massachusetts Institute of Technology, Sloan School of Management, 2014. Cataloged from PDF version of thesis. Includes bibliographical references (pages 164-165). I propose a discrete time model of financial markets in which an arbitrageur has investment opportunities but faces a number of financial constraints. Investment opportunities arise when the price discrepancy between a pair of similar assets becomes large enough. I propose an innovative way to model the effects of market liquidity and the arbitrage industry's reversion force on a stochastic price discrepancy. I use empirical studies and common literature assumptions to build and calibrate the model. I then run a set of Monte-Carlo simulations to test the model's response to the risks and returns of a number of arbitrage strategies in varying economic conditions. The model's results are in line with a number of theories in the existing literature, and specifically confirm the role of the arbitrageur as a liquidity provider in disturbed market environments. by Roland Beunardeau. S.M. in Management Studies 2014-09-19T21:47:36Z 2014-09-19T21:47:36Z 2014 2014 Thesis http://hdl.handle.net/1721.1/90233 890376008 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 170 pages application/pdf Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management. Beunardeau, Roland Risks And returns Of fixed income arbitrage strategies in varying economic environments : a model based on empirical considerations |
| title | Risks And returns Of fixed income arbitrage strategies in varying economic environments : a model based on empirical considerations |
| title_full | Risks And returns Of fixed income arbitrage strategies in varying economic environments : a model based on empirical considerations |
| title_fullStr | Risks And returns Of fixed income arbitrage strategies in varying economic environments : a model based on empirical considerations |
| title_full_unstemmed | Risks And returns Of fixed income arbitrage strategies in varying economic environments : a model based on empirical considerations |
| title_short | Risks And returns Of fixed income arbitrage strategies in varying economic environments : a model based on empirical considerations |
| title_sort | risks and returns of fixed income arbitrage strategies in varying economic environments a model based on empirical considerations |
| topic | Sloan School of Management. |
| url | http://hdl.handle.net/1721.1/90233 |
| work_keys_str_mv | AT beunardeauroland risksandreturnsoffixedincomearbitragestrategiesinvaryingeconomicenvironmentsamodelbasedonempiricalconsiderations |