Transactionally Efficient Markets, Dynamic Arbitrage and Microstructure
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- Rodolfo Apreda, 2000. "Differential Rates of Return and Residual Information Sets (A Discrete Approach)," CEMA Working Papers: Serie Documentos de Trabajo. 177, Universidad del CEMA.
- Apreda, Rodolfo, 1999. "Dynamic arbitrage gaps for financial assets: in a nonlinear and chaotic price adjustment process," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 441-457, November.
- Rodolfo Apreda, 2000. "Differential Rates and Transaction Costs. A toolkit for Practitioners, accountants and financial economists," CEMA Working Papers: Serie Documentos de Trabajo. 166, Universidad del CEMA.
- Rodolfo Apreda, 2000. "A transaction costs approach to financial assets rates of return," CEMA Working Papers: Serie Documentos de Trabajo. 161, Universidad del CEMA.
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KeywordsDynamic Arbitrage; microstructure; transactional efficiency; chaos.;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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