341 research outputs found
Essays in statistical arbitrage
No full textThis three-paper thesis explores the important relationship between arbitrage and price efficiency. Chapter 3 investigates the risk-bearing capacity of arbitrageurs under varying degrees and types of risk. A novel stochastic process is introduced to the literature that is capable of jointly capturing fundamental risk factors which are absent from extant specifications. Using stochastic optimal control theory, the degree to which arbitrageurs' investment behaviour is affected by aversion to these risks is analytically characterized, as well as conditions under which arbitrageurs cut losses, effectively exacerbating pricing disequilibria. Chapter 4 explores the role of arbitrage in enforcing price parity between cross-listed securities. This work employs an overlooked mechanism by which arbitrage can maintain parity, namely pairs-trading, which is cheaper to implement than the mechanism most commonly employed in the literature on cross-listed securities. This work shows that arbitrage is successful at enforcing parity between cross-listed securities, and also documents the main limits to arbitrage in this market setting. Chapter 5 examines the extent to which arbitrage contributes to the flow of information across markets. It is shown that microscopic lead/lag relationships of the order of a few hundred milliseconds exist across three major international index futures. Importantly, these delays last long enough, and induce pricing anomalies large enough, to compensate arbitrageurs for appropriating pricing disequilibria. These results accord with the view that temporary disequilibria incentivise arbitrageurs to correct pricing anomalies
Arbitrage and the law of one price in the market for American depository receipts
No full textOurs is the fi?rst paper to highlight pairs trading as the main price-correcting mechanism by which arbitrage can maintain stock-ADR parity. We show that arbitraging stock-ADR pairs extracts small per-trade pro?fits which accumulate to a substantial aggregate return. The observed strong tendency of pricing disequilibria to mean-revert, along with the two-way convertibility between stocks and ADRs, mean that arbitrageurs face minimal risks toward price divergence. They do, however, face uncertainty about the duration of individual trades. The magnitude of this uncertainty relates directly to the profi?t target arbitrageurs set after a long/short position is established. This fact can explain why some disequilibria go unexploited. Overall, our work provides evidence against automatically e?fficient prices, and supports the view that mispricings incentivize arbitrageurs to enforce market efficiency
Ultra High Frequency Algorithmic Arbitrage Across International Index Futures
No full textWe show that persistent lead-lag relationships spanning mere fractions of a seccond exist in all three possible pairings of the S&P500, FTSE100, and DAX futures contracts. These relationships exhibit clear intraday patterns which help us to forecast mid-quote changes in lagging contracts with directional accuracy in excess of 85%. A simple algorithmic trading strategy exploiting these relations yields economically significant profits which are robust to market impact costs and the bid-ask spread. We find that price slippage and infrastructure costs are our most important limits to arbitrage. Our results support the Grossman and Stiglitz (1976, 1980) view that informational ine?fficiencies incentivize arbitrageurs to eliminate mispricings
Optimal portfolio selection in nonlinear arbitrage spreads
No full textThis paper analytically solves the portfolio optimization problem of an investor faced with a risky arbitrage opportunity (e.g. relative mispricing in equity pairs). Unlike the extant literature, which typically models mispricings through the Ornstein-Uhlenbeck (OU) process, we introduce a nonlinear generalization of OU which jointly captures several important risk factors inherent in arbitrage trading. While these factors are absent from the standard OU, we show that considering them yields several new insights into the behavior of rational arbitrageurs: Firstly, arbitrageurs recognizing these risk factors exhibit a diminishing propensity to exploit large mispricings. Secondly, optimal investment behavior in light of these risk factors precipitates the gradual unwinding of losing trades far sooner than is entailed in existing approaches including OU. Finally, an empirical application to daily FTSE100 pairs data shows that incorporating these risks renders our model’s risk-management capabilities superior to both OU and a simple threshold strategy popular in the literature. These observations are useful in understanding the role of arbitrageurs in enforcing price efficiency.<br/
Effect of fiber-reinforced polymer confinement on bond strength of hooked bars in high-strength concrete
No full textTo assess the viability of the external confinement of high-strength concrete beam-column joints with carbon fiber-reinforced polymer (CFRP) sheets in increasing the bond strength of hooked bars anchored in the joints, 12 hooked bar specimens were tested. The specimen simulated the rigid connection of a cantilever beam to a column. The variables were the beam tensile bar size, anchorage length, mode of confinement of the beam hooked bars in the beamcolumn joint, and presence or absence of fiber-reinforced polymer (FRP) wraps. The nominal or intended concrete compressive strength was 60 MPa (8.7 ksi). Test results of the study were analyzed and the effect of FRP was assessed by comparing performance of specimens whose beam-column anchorage zones were wrapped with FRP sheets with analogous specimens with no FRP. FRP sheets were found effective in increasing the anchorage capacity and the ductility of the load-deflection history. © 2009, American Concrete Institute.[Anonymous], 2005, 318 ACI COMM; *ASTM INT, 2003, A615A615M03A ASTM IN; Hamad BS, 2004, J COMPOS CONSTR, V8, P14, DOI 10.1061-(ASCE)1090-0268(2004)8:1(14); Hamad BS, 2004, ACI STRUCT J, V101, P747; Hamad BS, 2004, J COMPOS CONSTR, V8, P248, DOI 10.1061-(ASCE)1090-0268(2004)8:3(248); HAMAD BS, J COMPOSITES CONSTRU, V9, P440
Comparison of roles of FRP sheets, stirrups, and steel fibers in confining bond critical regions
No full textBased on experimental data of tension lap splices confined with fiber reinforced polymer (FRP) sheets in normal and high strength concrete (HSC) specimens, a new FRP confinement parameter, Ktr,f was recommended. It accounts for the increase in bond strength due to the presence of FRP sheets. In this paper, a correlation is presented between the confining effects of FRP flexible sheets, transverse reinforcement, and steel fibers to improve the bond capacity and ductility of the mode of failure of tension lap splices. The correlation is based on research programs conducted at the American University of Beirut in recent years using identical specimens except for the confinement method used: FRP sheets, transverse steel stirrups, or steel fibers. Other variables included the amount of confinement provided and concrete strength. Analysis of test results indicated that an equivalent improvement in bond strength of tension lap splices in normal and high strength concrete specimens is provided by an amount of FRP sheets corresponding to a Ktr,j value of 2.5, or an amount of transverse reinforcement corresponding to K tr of 1.0db. For HSC specimens, an amount of steel fibers corresponding to a volume fraction of 1percent would provide an equivalent improvement in bond strength. © ASCE.*ACI COMM, 2005, 31805ACI; AZIZINAMINI A, 1993, ACI STRUCT J, V90, P554; Azizinamini A, 1999, ACI STRUCT J, V96, P826; Darwin D, 1996, ACI STRUCT J, V93, P347; Hamad BS, 2004, J COMPOS CONSTR, V8, P14, DOI 10.1061-(ASCE)1090-0268(2004)8:1(14); Hamad BS, 2001, ACI STRUCT J, V98, P638; Hamad BS, 2002, MATER STRUCT, V35, P219, DOI 10.1007-BF02533083; Hamad BS, 2003, ACI STRUCT J, V100, P19; Hamad BS, 2004, ACI STRUCT J, V101, P747; Hamad BS, 2004, J COMPOS CONSTR, V8, P248, DOI 10.1061-(ASCE)1090-0268(2004)8:3(248); SALWAN BR, 2003, THESIS AM U BEIRUT B55
Bond strength of hot-dip galvanized hooked bars in normal strength concrete structures
No full textIn 2001, a multi-phase research program was started at the American University of Beirut (AUB) to evaluate experimentally the effect of hot dip galvanizing on bond strength of reinforcement in concrete structures. In the first two phases, 24 full-scale beam specimens were tested in positive bending to evaluate the effect of galvanizing on bond strength of tension lap splices in normal and high strength concrete specimens. The variables were bar size, concrete strength, the amount of transverse reinforcement confining the splice region, and whether the bars were galvanized or not. Test results indicated that galvanizing had a negligible effect on bond strength of reinforcement in normal strength concrete. However, galvanizing caused an average of 20percent decrease in bond strength of reinforcement in high strength concrete regardless of the amount of transverse reinforcement confining the splice region. This paper reports on a third phase of the AUB program, designed to evaluate the effect of galvanizing on anchorage performance of hooked bars in normal strength concrete structures. Up to date there has been no research work done in this area. Twelve specimens were tested. The specimen simulated the rigid connection of two cantilever beams to a column. The variables were bar size, the confinement mode of the beam bars anchored in the column, and whether the bars were galvanized or not. The effect of galvanizing was evaluated by comparing the performance of galvanized bars with black bars based on the mode of failure, ultimate load, and the general load-deflection behavior. Test results indicated that effect of galvanizing on the bond strength of hooked bars in normal strength concrete was not significant. © 2007 Elsevier Ltd. All rights reserved.[Anonymous], 2002, 318 ACI COMM; *ASTM, 2004, A615A615M03A ASTM; Azizinamini A, 1999, ACI STRUCT J, V96, P826; Hamad BS, 2005, CONSTR BUILD MATER, V19, P275, DOI 10.1016-j.conbuildmat.2004.07.008; HAMAD BS, 1993, ACI STRUCT J, V90, P210; Hamad BS, 2006, ACI STRUCT J, V103, P48; Hamad BS, 2003, ACI STRUCT J, V100, P465; LIEBER W, 1967, ZEM-KALK-GIPS, P912
Effect of FRP confinement on bond strength of hooked bars: Normal-strength concrete structures
No full textTo assess the viability of the external confinement of normal-strength concrete beam-column joints with carbon fiber-reinforced polymer (CFRP) sheets in increasing the bond strength of hooked bars anchored in the joints, 12 hooked bar specimens were tested. The variables were beam tensile bar size, anchorage length, mode of confinement of the beam hooked bars in the beam-column joint (whether the hooked bars were anchored within or outside the column reinforcement cage, denoted as confined specimens or unconfined specimens), and presence or absence of FRP wraps. The specimen simulated the rigid connection of a cantilever beam to a column. The tensile beam reinforcement consisted of two bars anchored in the base column using hooked-bar anchorages. Test results indicated that FRP sheets were effective in increasing the anchorage capacity and the ductility of the load-deflection history for both unconfined and confined specimens. However, FRP sheets had a more significant influence on unconfined specimens than companion confined specimens. As compared with unconfined specimens without FRP wrapping, unconfined FRP specimens had an average of a 23percent increase in bond strength, confined non-FRP specimens had an average 30percent increase in bond strength, and confined FRP specimens had an increase of 54percent. © 2009 ASCE.*ACI, 2005, ACI31805ACI318R05; ASTM, 2004, 2004 ANN BOOK ASTM S, V04.08; Ghobarah A, 2005, J COMPOS CONSTR, V9, P408, DOI 10.1061-(ASCE)1090-0268(2005)9:5(408); Hamad BS, 2004, J COMPOS CONSTR, V8, P14, DOI 10.1061-(ASCE)1090-0268(2004)8:1(14); Hamad BS, 2004, ACI STRUCT J, V101, P747; Hamad BS, 2005, J COMPOS CONSTR, V9, P44, DOI 10.1061-(ASCE)1090-0268(2005)9:1(44); Hamad BS, 2004, J COMPOS CONSTR, V8, P248, DOI 10.1061-(ASCE)1090-0268(2004)8:3(248); Kono S, 1998, P 2 INT C COMP INFR, P343; Pantelides CP, 2008, J COMPOS CONSTR, V12, P435, DOI 10.1061-(ASCE)1090-0268(2008)12:4(435)1
Evaluating Qatar Central Bank’s Governance on Islamic Banks in Qatar
No full textThis paper aims to evaluate the governance of Qatar Central bank (QCB) on Islamic banks (IBs). Related-data will be taken from secondary sources. It is expected that QCB efficiently governs IBs in a way fulfills its unique nature. However, evidence suggests a number of issues in QCB governance towards IBs when looking at various dimensions. In Islamic Financial product dimension, QCB has no clear indications for enforcing its tawaruq-related regulations. This results on the extreme usage of tawaruq by IBs. In the social dimension, while it is suggested by early Islamic economists promoting equity products, such products are very slightly used by IBs in Qatar. The absence of QCB’s regulations to promote such social aspects has led to the concentration of debt-based products. In terms of Sharia governance (SG) dimension, a number of issues have been raised such as the absence of cross-boarding regulations and the proper definition for the qualifications of sharia scholars. It is recommended, thus, to enforce tawaruq regulations properly, to create social-oriented regulations, to fix CG related issues discussed in this paper, and to unify Islamic financial contracts among IBs
Effect of fiber-reinforced polymer confinement on bond strength of reinforcement in beam anchorage specimens
No full textThis paper reports on the fourth phase of a multiphase study undertaken at the American University of Beirut (AUB) to examine the effect of fiber-reinforced polymer (FRP) sheets in confining bond-critical regions in reinforced concrete beams. Results of the first three phases showed that glass- and carbon-fiber-reinforced polymer (GFRP and CFRP) sheets were effective in increasing the bond strength and improving the ductility of the mode of failure of tension lap splices in high-strength concrete (HSC) and normal-strength concrete (NSC) beams. The main objective of the fourth phase of the AUB study was to assess the effect of CFRP sheets in improving the serviceability and ultimate response of beam anchorage specimens. The added experimental data and the improved knowledge of the bond behavior of FRP confined concrete members will encourage the use of FRP technology to strengthen and retrofit bond anchorage zones. Ten beam anchorage specimens were tested in positive bending in two series. The variables were bar size, anchorage length, and concrete strength. For each bar size, anchorage length, and concrete strength, two companion specimens - identical except for whether the anchorage zone was wrapped with FRP sheets or not wrapped - were tested. The test results demonstrated that CFRP sheets were effective in enhancing the bond strength and ductility of anchorage zones in beam anchorage specimens where splitting failures were imminent.*ACI, 2002, 440R96 ACI; Darwin D, 1996, ACI STRUCT J, V93, P347; Hamad BS, 2004, J COMPOS CONSTR, V8, P14, DOI 10.1061-(ASCE)1090-0268(2004)8:1(14); Hamad BS, 2004, ACI STRUCT J, V101, P747; Hamad BS, 2004, J COMPOS CONSTR, V8, P248, DOI 10.1061-(ASCE)1090-0268(2004)8:3(248)107
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