31 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/
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
Elevated Vitamin B12 Levels in Myeloproliferative Neoplasm (MPN) Patients: A Potential Diagnostic and Prognostic Marker
No full textAbdalla Fadul,1 Elmustafa Abdalla,1 Anas Mohamed,1 Bashir Ali,1 Nusiba Elamin,1 Ahmed Abdelghafar Alsayed,1 Abdulrahman F Al-Mashdali,2 Kalpana Singh,3 Shehab F Mohamed2 1Department of Internal Medicine, Hamad Medical Corporation, Doha, Qatar; 2Department of Hematology, Hamad Medical Corporation, Doha, Qatar; 3Department of medical biostatistics, Hamad Medical Corporation, Doha, QatarCorrespondence: Abdalla Fadul, Department of Internal Medicine, Hamad Medical Corporation, Al-Rayyan Road, PO Box 3050, Doha, Qatar, Tel +97477999443, Fax +97444397857, Email [email protected]: Elevated vitamin B12 (B12) levels are linked to an increased risk of cancers, including hematological malignancies. This study focuses on the relationship between elevated B12 and myeloproliferative neoplasms (MPNs): Polycythemia Vera (PV), Primary Myelofibrosis (MF), Essential Thrombocytosis (ET), and Chronic Myeloid Leukemia (CML). Elevated B12 in MPNs is believed to arise from increased transcobalamin I (TCI) secretion by proliferating leukocytes, leading to higher serum levels. B12 may serve as a diagnostic and prognostic biomarker for these conditions. However, its sensitivity, specificity, and cutoff levels are unclear.Aim: To assess the prevalence of high B12 levels in MPN patients, determine the median levels, identify a diagnostic cutoff, and evaluate the sensitivity and specificity of B12 as a marker.Methods: Data were retrieved from the National Center for Cancer Care and Research in Doha, Qatar, for MPN patients from January 2016 to December 2022.Results: A total of 467 patients were included: 232 with CML, 98 with PV, 88 with ET, and 50 with MF. The majority were male (66%) and of Asian origin (56%), with a median age of 48.7 years. CBC results showed median hemoglobin of 9.2 g/dL, WBC count of 73 x 10^3/uL, and platelet count of 531 x 10^3/uL. Elevated B12 levels were found in 95 patients (20%): 71% CML, 14% PV, 10% MF, and 5% ET. Extreme elevations were seen in 59 patients. The mean B12 level decreased from 747.3 ± 686.5 pg/mL before treatment to 397.9 ± 343.7 pg/mL after one year (p=0.01). Median levels were 458 pg/mL (718) before treatment and 301 pg/mL (229) after. In the extreme high B12 group, the mean was 1722 pg/mL before and 677 pg/mL after treatment.Conclusion: Elevated B12 levels are associated with disease activity in CML. However, their role as a reliable marker for disease monitoring remains uncertain, and further studies are needed to confirm their utility for CML progression.Keywords: Vitamin B12, myeloproliferative neoplasms, MPNs, chronic myeloid leukemia, CML, polycythemia vera, PV, essential thrombocythemia, ET, myelofibrosis, M
Efficienty of CFRP sheets in upgrading and/or strengthening square reinforced concrete columns
No full textStrengthening and/or upgrading reinforced concrete columns through utilization of composite sheets is now receiving wide acceptance worldwide. The technique is simple to use and has many advantages over other available methods. However, limited data is available about its efficiency in confining non-cylindrical shape columns. In this paper, the influence of using different schemes of wrapping of carbon fibre reinforced polymer (CFRP) sheets on the behaviour of reinforced concrete columns with and without utilizing
mechanical anchoring system is reported. The columns were 300 × 300 mm in cross section and 2005 mm in height and were subjected to incremental monotonic loading until complete failure. Test results indicated that the horizontally aligned CFRP sheets had more contribution to enhancing the ductility of the columns than the strength whereas the vertically aligned sheets had more contribution to increasing the column's ultimate capacity. The results also showed that both ductility and strength of the wrapped columns can be significantly increased by utilizing mechanical anchoring system that reduces the
distance between the unsupported nodal points for the sheets.Corresponding Author:
Prof. Saleh H. Alsayed, Civil Engineering Department, Department of Civil Engineering, King Saud University, P.O. Box 800, Riyadh 11421, Saudi Arabia. Email: [email protected]
Performance of glass fiber reinforced plastic bars as a reinforcing material for concrete structures
No full textThe increasing use of fiber reinforced plastic (FRP) bars to reinforce concrete structures necessitates the need for either developing a new design code or adopt the current one to account for the engineering characteristics of FRP materials. This paper suggests some modifications to the currently used ACI model for computing flexural strength, service load deflection, and the minimum reinforcement needed to avoid rupturing of the tensile reinforcement. Two series of tests were conducted to check the validity of the suggested modifications. The first series was used to check the validity of the modifications made into the flexural and service load deflection models. The test results of the first series were also analyzed to develop two simple models for computing the service load deflection for beams reinforced with glass FRP (GFRP) bars. The second series was used to check the accuracy of the modification suggested into minimum reinforcement model. Test results of the first series indicate that the flexural capacity of the beams reinforced by GFRP bars can be accurately predicted using the ultimate design theory. They also show that the current ACI model for computing the service load deflection underestimates the actual deflection of these beams. The two suggested models for predicting service load deflection accurately estimated the measured deflection under service load, and the simpler of the two pertains better predictions than those of the models available in the literature. Test results of the second series reveal that there is an excellent agreement between the predicted and recorded behavior of the test specimens, which suggests the validity of the proposed model for calculating the required minimum reinforcement for beams reinforced by GFRP bars.King Abdulaziz City for Science and Technology
(KACST), funded the research project AR-14-35 entitled "Glass Fiber Reinforced
Plastic Rebars: Properties and Applications in Concrete Structures."Corresponding Author:
Prof. Saleh Hamed Alsayed
Civil Engineering Deparatment, College of Engineering, King Saud University, P.O. Box 800
Riyadh-11421, Saudi Arabia.
Email: [email protected]
The Political Thought of the Late H.H. Sheikh Zayed Bin Sultan Al Nahyan, Founder of the United Arab Emirates (1966 - 2004)
No full textThis thesis highlights the political thought of H.H. Sheikh Zayed Bin Sultan Al Nahyan, a man who made decisive contributions to the history of the twentieth century, and the various reflections of this political thought on the UAE, its people and the international community at large. In this regard, it explores and analyzes a multifaceted political thought that took its form in political practice in the establishment of the Federation, the management of crises and in the building of a prosperous enduring nation. Evaluating the factors that influenced the formation of the doctrinal matrix of Sheikh Zayed Bin Sultan Al Nahyan, this thesis traces the background from within which Sheikh Zayed’s leadership skills evolved and developed. From his early years onwards, Sheikh Zayed made a firm commitment to undertake the considerable task of building a fully fledged state out of a divided tribal background, improve the lives of citizens, and carve a place for the UAE in the international arena.
This research project illustrates the implications and dimensions of Sheikh Zayed's political thinking process exemplified in his discursive statements and actions. It documents and analyzes the career achievements of Sheikh Zayed, a statesman acknowledged by contemporary and future generations to have had significant impact on the political direction and overall development of the UAE. This impact also demonstrates the potential of his contribution to the field of political thought.
One of this study’s primary conclusions is that the accomplishments of Sheikh Zayed Bin Sultan Al-Nahyan during his rule have resulted primarily from his development of an integrated doctrine of governance that reflected his humanistic outlook. In this regard, at both the domestic and international levels, Sheikh Zayed’s political decisions and acts were undertaken with reference to this outlook
