This thesis investigates the long- and short- run stability of Cointegrated dual share equity pairs on the Swedish Equity Market. Testing for a cointegrated relationship on each pair are executed for a 13 year period to establish the cointegrated pairs. The stability of each cointegrated pair is then estimated using a rolling two year period. An Arbitrage Trading strategy is applied to the cointegrated pairs for the following one year period. The long-run relationship of the pairs are found to be stable. The short-term relationship varies from pair to pair, where some pairs break their cointegrated relationship for some time periods. But generally, most pairs are stable over the short- term as well. The trading strategy generate the highest returns during volatile market conditions and underperforms during positive market conditions with low volatility. The Sharpe ratio is far better than the Index during the whole period.

abstract: This thesis develops a low-investment marketing strategy that allows low-to-mid level farmers extend their commercialization reach by strategically sending containers of fresh produce items to secondary markets that present temporary arbitrage opportunities. The methodology aims at identifying time windows of opportunity in which the price differential between two markets create an arbitrage opportunity for a transaction; a transaction involves buying a fresh produce item at a base market, and then shipping and selling it at secondary market price. A decision-making tool is developed that gauges the individual arbitrage opportunities and determines the specific price differential (or threshold level) that is most beneficial to the farmer under particular market conditions. For this purpose, two approaches are developed; a pragmatic approach that uses historic price information of the products in order to find the optimal price differential that maximizes earnings, and a theoretical one, which optimizes an expected profit model of the shipments to identify this optimal threshold. This thesis also develops risk management strategies that further reduce profit variability during a particular two-market transaction. In this case, financial engineering concepts are used to determine a shipment configuration strategy that minimizes the overall variability of the profits. For this, a Markowitz model is developed to determine the weight assignation of each component for a particular shipment. Based on the results of the analysis, it is deemed possible to formulate a shipment policy that not only increases the farmer's commercialization reach, but also produces profitable operations. In general, the observed rates of return under a pragmatic and theoretical approach hovered between 0.072 and 0.616 within important two-market structures. Secondly, it is demonstrated that the level of return and risk can be manipulated by varying the strictness of the shipping policy to meet the overall objectives of the decision-maker. Finally, it was found that one can minimize the risk of a particular two-market transaction by strategically grouping the product shipments. / Dissertation/Thesis / M.S. Industrial Engineering 2011

The analysis undertaken, firstly aims to identify the extent to which equities, their indexes and their derivatives priced in accordance with their fair value. Secondly, presuming that the traded values of the instruments do not in all instances equate to the fair value, the research aims to develop an effective means to identify and manage profitable opportunities arising from the mispricing. General concepts relating to profitability, trade identification, risk and continuous improvement of the processes are addressed. This includes recommendations on the management of the risks through a structured reporting process. The research looks at arbitrage trading in the South African market from the perspective of an empirical review into the market's participation in equity and equity derivative arbitrage. In addition to this empirical analysis, a time series analysis into various arbitrage strategies is conducted with the view to determining their relative profitability. The first component of the empirical research focuses on the arbitrage trading strategies adopted by a sample of 80 institutions. Where the institutions trade arbitrage strategies, the research undertook to establish what methods are used to identify, trade and manage the index arbitrage, single stock futures arbitrage, risk arbitrage, statistical arbitrage and volatility arbitrage trading opportunities that present themselves within the South African Market. Information gathered did not only focus on the actual trading strategies but also determined the relative cost structures, profitability and risk management processes that are employed to support these trading initiatives. The time series analysis focused on index futures, single stock futures, risk, dual listed and statistical arbitrage methods, and reflects the results before and after transaction costs. These arbitrage strategies were applied to the ALSI Top 40 index or its associated shares and generally spanned a period of about four years. Finally the research presents an arbitrage business model that is aimed at providing a blue print for arbitrage trading which covers: new arbitrage strategy, implementation, market risk, execution, profit, traders, cost Finally, the research provides a multiple regression method for application in identifying further arbitrage trading opportunities within the South African environment. / School of Business Leadaership / DBL

Lorsque le sportif professionnel exerce son activité en tant que salarié, il devrait disposer d’un contrat de travail classique soumis au droit commun. Toutefois, la spécificité du monde sportif complexifie les rapports contractuels que peut entretenir un sportif. En effet, la discontinuité des rapports contractuels, conséquence des transferts et prêts dont peuvent faire l’objet des joueurs, ou encore la règlementation sportive mise en place par les autorités sportives font que le législateur a dû s’adapter pour répondre correctement à l’originalité du monde sportif. Il a ainsi introduit, par le biais de la loi du 27 novembre 2015, le contrat à durée déterminée spécifique pour les sportifs et entraîneurs professionnels qui a permis de mettre fin à une incertitude juridique. Mais la spécificité du sport est également liée au rapport délicat qui existe entre les règles purement sportives et la législation étatique. La règlementation antidopage illustre parfaitement ce propos car il n’a vocation à s’appliquer que dans le monde du sport. Ainsi, pour préserver l’équité des manifestations sportives, il a été nécessaire de définir la notion de dopage mais surtout de rendre la lutte internationale en obligeant les différents États à intégrer les règlements en la matière au sein de leurs législations. La rencontre de ces différentes autorités permet d’expliquer la complexité du traitement juridique d’un fait de dopage d’un sportif. En effet, le sportif professionnel va faire face à plusieurs procédures qui peuvent entrer en conflit les uns avec les autres. La première est celle qui se tiendra devant la justice fédérale qui peuvent prononcer une sanction sportive. Les co-contractants du sportif peuvent également introduire une action afin d’obtenir réparation de leurs préjudices. Finalement, il est nécessaire de prendre en compte la possibilité que des poursuites pénales puissent être engagé à l’encontre du sportif qui se rend responsable d’un fait de dopage. / When the professionnal sportsman carry out his activity as an employee, he should have a classic work contract subject to the ordinary law. However, the specificity of the sports world further complicate the contractual relationship that the sportsman can have. Indeed, the discontinuity of the contractual relations, resulting of the players’ transfers and loans, or the rules governing sport implimented by the sports authorithies have forced the legislator to adapt himself and to take in account the uniqueness of the sports world. He thus incorporated, through the law of 27th november 2015, a specific fixed-term contract for the professionnal sportsmen and trainers which has put an end to the legal uncertainty. But the specificity of sport is also linked to the delicate balance existing between the purely sporting rules and the state legislation. The anti-doping regulation is a good example of this because it is intended to apply only in the sports world. Therefore, to preserve the fairness during the sport events, is was necessary to define the notion of doping but especially to make the fight international by forcing the different states to adopt the regulations into their legislations. The meeting between these different autorities can explain the complexity of the legal treatment of a doping case. Indeed, the professionnal sportsman will face different procedures who can be in conflict with each other. The first one is the procedure held before the federal justice who can pronounce a sporting sanction. The other contracting partners of the sportsman can also introduce an action to obtain redress for the injury caused. Finally, it is necessary to take in account the possibility that criminal proceedings are taken against the sportsman who is guilty of a doping case.

Cette thèse traite de l'analyse économique des conflits, et plus particulièrement de l'apport d'une méthode, la "Contest Theory". En partant du postulat simple que les agents économiques réalisent un arbitrage beurre-canons, les conflits ont pu être intégrés dans le champ de l'analyse économique. Dans le premier chapitre, nous proposons une synthèse des principaux résultats et nous décrivons le rôle décisif des Contest Success Functions dans ce cadre théorique. Le second chapitre montre que, pour traiter des conflits armés, l'identité institutionnelle des agents devrait davantage être pris en considération dans les modèles de la "Contest Theory". Le troisième chapitre s'intéresse aux motivations pouvant expliquer le commerce d'armes entre ennemis. Nous montrons que si le vendeur dispose d'une technologie militaire et non militaire plus efficace que l'acheteur, le commerce d'armes peut s'avérer mutuellement avantageux. Dans le quatrième chapitre nous proposons d'estimer et de comparer les quatre plus grandes formes de Contest Success Functions en recourant à des données provenant du monde virtuel. À partir d'un échantillon de 1957 batailles, nous trouvons que la forme ratio est celle qui a la plus grande qualité prédictive. En d'autres termes, le principal facteur expliquant la victoire sur un champ de bataille (virtuel) est le ratio du nombre de canons déployés. / This thesis deals with conflict economics, and more precisely with the contributions of the Contest Theory to the field. This method assumes that economic agents face a trade off between guns and butter's activities. By doing so, it allows the consideration of conflicts in economic mainstream. In the first chapter, we offer a survey on guns versus butter models. In particular, we focus on Contest Success Functions which are the cornerstone of the framework. The second chapter highlights one limit of the models of contest theory in conflict economics namely the lack of importance given to the identity of agents. The third chapter studies the motivation which can explain the existence of arms trade between enemies. We show that if the seller has a higher productivity both in guns and butter's activity, there exists a mutually benefficial agreement. As a result, even between enemies, arms trade may be rational. In the fourth chapter, we estimate and compare the four main forms of Contest Success Functionsusing data coming from virtual worlds. Based on a sample of 1957 (virtual) battles, we find that the ratio form is always the best-fit Contest Success Function.

Submitted by Lira Rocha da Mota (lrmota@fgvmail.br) on 2014-04-11T16:09:48Z No. of bitstreams: 1 dissertacao.pdf: 1327836 bytes, checksum: d45aace450f509fb8a98c97ff86e3225 (MD5) / Approved for entry into archive by ÁUREA CORRÊA DA FONSECA CORRÊA DA FONSECA (aurea.fonseca@fgv.br) on 2014-04-25T19:49:33Z (GMT) No. of bitstreams: 1 dissertacao.pdf: 1327836 bytes, checksum: d45aace450f509fb8a98c97ff86e3225 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2014-05-08T13:41:20Z (GMT) No. of bitstreams: 1 dissertacao.pdf: 1327836 bytes, checksum: d45aace450f509fb8a98c97ff86e3225 (MD5) / Made available in DSpace on 2014-05-08T13:41:34Z (GMT). No. of bitstreams: 1 dissertacao.pdf: 1327836 bytes, checksum: d45aace450f509fb8a98c97ff86e3225 (MD5) Previous issue date: 2013-12-23 / We report the results of an exploratory data analysis of the Brazilian securities lending market. The analysis is performed over the full historical data set of each individual loan offer and loan contract negotiated between January 2007 and August 2013. We give a quantitative description of volume and loan fee trends and fee dependence on asset characteristics. We also unveil new stylized facts specific to the Brazilian market on market access asymmetries between different types of investors. The emerging picture is that the Brazilian securities lending market is a complex environment with specific frictions and strong asymmetries among players. In particular, we describe a tax arbitrage operation performed by domestic mutual funds which generates a significant distortion in the data. In one such event, we estimate additional aggregate profits of 24.25 million Reais (around 10 million Dollars).

Submitted by Lucas Processi (lucasprocessi@gmail.com) on 2017-12-06T13:14:53Z No. of bitstreams: 1 Processi (2017).pdf: 1111887 bytes, checksum: 09c88a08f1d79acf1311e697cf8c14cc (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-12-21T11:42:42Z (GMT) No. of bitstreams: 1 Processi (2017).pdf: 1111887 bytes, checksum: 09c88a08f1d79acf1311e697cf8c14cc (MD5) / Made available in DSpace on 2017-12-27T11:50:16Z (GMT). No. of bitstreams: 1 Processi (2017).pdf: 1111887 bytes, checksum: 09c88a08f1d79acf1311e697cf8c14cc (MD5) Previous issue date: 2017-11-08 / We investigate arbitrage opportunities in the Brazilian options market. Our research consists inbacktesting several delta-gamma neutral portfolios of options traded in B3 exchange to assessthe possibility of obtaining systematic excess returns. Returns sum up to 400% of the dailyinterbank rate in Brazil (CDI), a rate viewed as risk-free. However, with bootstrap analysis,we find evidence consistent with the absence of arbitrage opportunities in the Brazilian optionsmarket.This approach is different from other studies because the analysis is taken on several options ondifferent underlying assets, which gives us the opportunity to investigate factors that influencethe magnitude of excess returns. Europeanness is the most relevant factor found.

Le développement de l’arbitrage international s’inscrit de nos jours, comme l’un des modes alternatifs de règlement des conflits le plus utilisé. Sa nature hybride, à la fois contractuelle et juridictionnelle, en fait le mode privilégié du monde des affaires ; cet engouement pour l’arbitrage international, s’explique en ce que la mondialisation de l’économie et l’effacement progressif des frontières, ont obligé les acteurs du commerce, à résoudre les litiges avec efficacité et immédiateté ; chose que les juridictions étatiques ne sont pas à même de procurer dans la pratique, contrairement à l’arbitrage international, qui jouit d’une réputation favorable, en traitant les conflits qui lui sont confiés, avec célérité, efficacité et confidentialité. Reste une question : l’arbitrage international reçoit-il la-même acceptation selon tous les États ? Les études de droit comparé, démontrent à première vue, une réelle volonté d’harmonisation des dispositions entourant l’arbitrage afin d’en faire un mode totalement autonome des juridictions étatiques. Cependant, une analyse plus approfondie démontrera que cette volonté est relative, ce qui poussera le juge étatique à intervenir tout au long de la procédure arbitrale (avant, pendant, après) pour en faire « un auxiliaire indispensable de la justice arbitrale » . Cette intervention du juge étatique, sera néanmoins plus délicate dans la première phase de l’arbitrage (avant), en ce que dérivent de cette ingérence, la mise en œuvre ou non de l’arbitrage. Surviennent alors de nombreuses questions : est-ce que l’intervention du juge étatique contrevient à l’autonomie de l’arbitrage international ? Mais aussi, quelle est la nature de cette intervention : coercitive, d’assistance, de contrôle ? Cela met-il en péril l’autorité de l’arbitre-juge ? Est-ce que cette intervention du juge étatique peut être utilisée par les parties à des fins dilatoires? Tout l’enjeu de ces travaux sera de trouver des réponses à ces questions au travers une étude de droit comparée entre la France et les États-Unis. / Summary Nowadays, international arbitration is one of the most commonly used alternative forms of conflict resolution. Its hybrid nature, both contractual and jurisdictional, makes it the preferred mode of the business world ; this enthusiasm for international arbitration is shown in the fact that economic globalization and the gradual disappearance of borders have forced trading parties to resolve disputes with efficiency and immediacy, which state courts are unable to provide in practice ; this is in contrast to international arbitration, which has a favorable reputation in managing and resolving conflicts entrusted to it in a timely manner, efficiently and confidentially. Nevertheless, a question remains: does international arbitration have the same acceptance from all states? At first glance, studies in comparative law show a genuine desire to harmonize the provisions surrounding arbitration, so as to render it a totally autonomous mode of state jurisdiction. However, a more thorough analysis will show that this desire is relative, which will push the state judge to intervene throughout the arbitration process (before, during, after) to make it "an arbitral justiceÕs indispensable auxiliary ". However, this intervention by the state judge will be more delicate in the arbitrationÔs first phase, and the result will be its implementation or not. Then, a number of questions arise: does the intervention of the state judge violate the autonomy of international arbitration? But also, what is the nature of this intervention: coercive, assistance, control? Does this jeopardize the authority of the referee-judge? Can this intervention by the state court be used by the parties for delaying purposes? The challenge will be to find answers to these questions through a study of comparative law between France and the United States.

The impact of political and economic events on the asset pricing model described by the arbitrage pricing theory (APTM) was examined in order to establish if they had caused any changes in its specification. It was concluded that the APTM is not stationary and that it must be continuously tested before it can be used as political and economic events can change its specification. It was also found that political events had a more direct effect on the specification of the APTM, in that their effect is more immediate, than did economic events, which influenced the APTM by first influencing the economic environment in which it operated. The conventional approach that would have evaluated important political and economic events, case by case, to determine whether they affected the linear factor model (LFM), and subsequently the APTM, could not be used since no correlation was found between the pricing of a risk factor in the LFM and its subsequent pricing in the APTM. A new approach was then followed in which a correlation with a political or economic event was sought whenever a change was detected in the specification of the APTM. This was achieved by first finding the best subset LFM, chosen for producing the highest adjusted R2 , month by month, over 87 periods from 20 October1991 to 21 June 1998, using a combination of nine prespecified risk factors (five of which were proxies for economic events and one for political events). Multivariate analysis techniques were then used to establish which risk factors were priced most often during the three equal subperiods into which the 87 periods were broken up. Using the above methodology, the researcher was able to conclude that political events changed the specification of the APTM in late 1991. After the national elections in April 1994 it was found that the acceptance of South Africa into the world economic community had again changed the specification of the APTM and the two most important factors were proxies for economic events. / Business Leadership / DBL

Cette thèse propose de partir de l’État en tant qu’objet historique afin de comprendre ses relations avec l’arbitrage d’un point de vue de droit public. Elle adopte une étude fonctionnelle et introduit des éléments de droit comparé afin d’éclairer ces relations. Les fonctions de l’État dans l’arbitrage reflètent en effet l’évolution de la forme étatique, tout comme cette évolution explique leur nature et leur diversité. L’analyse des fonctions de l’État dans l’arbitrage mène ainsi au constant d’une série de dualités porteuses de tensions. Dualité d’abord entre deux grands types de fonctions étatiques qui structurent ce travail : les fonctions de puissance de l’État d’une part et les fonctions de régulation de l’État dans l’arbitrage d’autre part. Les premières correspondent aux fonctions traditionnelles de l’État moderne de juridiction, d’édiction et d’exécution et sont profondément imprégnées de l’idée de monopole étatique et de hiérarchie. Les secondes sont apparues plus récemment, en partie en réaction à deux globalisations économiques génératrices de réalités transnationales sur lesquelles l’État ne peut pas agir de manière efficace à travers ses fonctions de puissance. Dualité ensuite au sein de chacune des fonctions de puissance étatiques qui évoluent sous cette même pression ainsi qu’entre des fonctions de régulations directes et des fonctions de régulation indirectes de l’État dans l’arbitrage. Au sein de chacune de ces dualités, plutôt qu’un passage d’un pôle à un autre, on assiste à leur coexistence parfois conflictuelle. / This study takes the historical figure of the sovereign state as a point of departure in order to understand its relationship with arbitration from a public law perspective. To do so, it adopts a functional approach and introduces elements of comparative law. In fact, the sovereign functions in arbitration mirror the evolution of the sovereign state, while that evolution explains their nature and diversity. The analysis of sovereign functions in arbitration leads to identify a number of dichotomies that are a potential sources of conflicts. First, there is a dichotomy between functions of power in arbitration and regulatory functions in arbitration from which this study borrows its structure. The functions of power encompass the traditional jurisdictional, legislative and executive functions characteristic of the modern state and are linked to the ideas of state monopoly and hierarchy. The regulatory functions of the state are more recent, and emerged as a reaction to two economic globalizations that engendered transnational phenomena which cannot be ruled in an efficient manner through the sovereign’s functions of power. Second, there are dichotomies within each function of power when applies to arbitration as well as a dichotomy between direct and indirect regulatory functions in arbitration. Within each of these dichotomies, rather than a shift from one pole to the other, it is possible to observe a coexistence of both poles.