Estr隔夜指数掉期市场的效率

IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE
Marco Realdon
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引用次数: 0

摘要

本文研究了市场中性三角对冲策略在标准仿射期限结构模型发出欧元短期利率隔夜指数掉期(Estr OIS)定价错误信号时的盈利能力。校准这些模型会产生定价误差,从而发出错误定价和三角对冲市场风险的信号。本文提出了计算简单的投资组合权重,在市场中性三角对冲约束和买卖价差的条件下,使 OIS 套利投资组合信息比率最大化。经验证据表明,只有能够 "分割 "买卖价差的投资者才能利用这些模型所显示的定价误差获利。只能以买入价或卖出价进行交易的投资者无法获利。定价误差具有很强的正自相关性,这阻碍了预期纠正这些误差的交易获利。这些结果表明,Estr OIS 市场是相当有效的,并且对许多模型和策略都是稳健的。四因子和五因子模型比三因子模型更有利可图。假设观察到的某些 OIS 利率没有误差,则会降低模型和策略的盈利能力。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The efficiency of the Estr overnight index swap market

This paper studies the profitability of market-neutral delta-hedged strategies trading the mispricing of Euro Short Term Rate Overnight Index Swaps (Estr OIS) signalled by standard affine term structure models. Calibrating these models produces pricing errors that signal mispricing and the deltas to hedge market risk. The paper presents simple-to-compute portfolio weights that maximise the OIS arbitrage portfolio information ratio subject to market-neutral delta-hedge constraints and subject to bid–ask spreads. The empirical evidence shows that only investors who can “split” the bid–ask spread can profitably exploit the pricings errors signalled by these models. Investors who can only ever trade at the bid or at the ask cannot profit. Pricing errors are strongly positively auto-correlated, which hampers the profitability of trades that expect the correction of such errors. These results imply that the Estr OIS market is quite efficient and are robust to a number of models and strategies. Four and five factor models are more profitable than three factor ones. Assuming that some OIS rates are observed without error reduces the profitability of models and strategies.

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来源期刊
CiteScore
6.60
自引率
10.00%
发文量
142
期刊介绍: International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
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