套利

这就是所谓的套利。

That is interest arbitrage in practice .

并设计了均值方差模型，资本资产定价模型和资本资产套利模型。

The mean variance , capital rated and capital interest arbitrage are also devised .

这就是套利的一个例子。

This is an example of arbitrage .

统计套利基金（statisticalarbitragefunds）的问题更为严重。

Statistical arbitrage funds have run into particular problems .

全球金融市场也存在类似的情况，比如前几年我们讨论比较多的套利交易（carrytrade）。

Similar things exist in the global financial market , for example , carry trade , which we discussed quite too often several years ago .

美国国家经济研究局（nationalbureauofeconomicresearch）的一篇论文声称，已通过学术研究发现了固定收益市场“有史以来最严重的套利现象”。

A paper from the US National Bureau of economic research claims to have identified by academic research in fixed income markets the " largest arbitrage ever " .

套利定价模型（APT）对深圳股市的实证检验

Experimental Test About Shenzhen Stock Market by APT

c.套利定价理论

C. Arbitrage Pricing Theory

所谓的相对价值固定收益套利（relativevaluefixed-incomearbitrage）指的是，找出相关债券的定价异常现象，然后押注于这种异常现象将随着时间的推移而消失。

So-called relative value fixed-income arbitrage involves identifying pricing anomalies in matched bonds and betting that over time they will disappear .

Ross提出了套利定价理论（APT），试图找到更适合实际的定价模型。

Ross proposed arbitrage pricing theory ( APT ), trying to find more suitable for practical pricing models .

尽管流动性危机使杠杆收购活动陷于停滞，但合并套利型基金（mergerarbitragefunds）获得了正收益：上涨0.6%。

Despite the liquidity crisis bringing leveraged buyout activity to a halt , merger arbitrage funds recorded a positive number : up 0.6 per cent .

其他商品对冲基金管理人，包括伦敦的BlueGoldCapitalManagement在内，都认为有必要回归套利交易（又称相对价值交易）模式。

The need to return to arbitrage trading or relative value is shared by other commodities hedge fund managers including London-based BlueGold Capital Management .

ETFs对市场的影响及套利风险

ETFS ' Impact on Market and Arbitrage Risks

因此他们必须表明，他们将CDS视为风险管理工具，而不仅仅是监管套利手段。

Then they must show that they view the tool as a risk management device , not just a technique for regulatory arbitrage .

CAPM滥用时的套利机会

Arbitrage Opportunities under CAPM

其次探讨股票收益率采用的两个模型：传统的资本资产定价模型和多要素套利定价理论，并介绍如何计算股票的VaR；

Secondly we discuss the two models of stock returns rate , CAPM and APT , and then we introduce how to calculate VaR of stock .

ETF套利研究

The Research of ETF Arbitrage

1976年，罗斯（StephenA.Ross）突破性地发展了CAPM，首创套利定价理论（APT）。

In 1976 , Stephen A. Ross developed CAPM and initiated the arbitrage pricing theory ( APT ) which is a breakthrough .

本文对资本市场均衡理论、资本资产定价模型（CAPM）和套利定价模型（APT）的经验检验、有效市场假设的检验进行了分析；

The article analyzes the theory of asset market equilibrium , some empirical investigation of CAPM and APT and some tests of the efficient market hyPothesis .

无套利均衡分析在公司理财领域的运用最早体现在莫迪格莱尼和米勒（1958）研究企业资本结构与企业价值之间关系的MM理论中。

While it is Modigliani and Miller who first use no arbitrage principle in corporate finance field to explain MM theory , which is about the relationship of firm 's capital structure and it 's value .

当前各类产品市场的竞争比以往任何时候都激烈，同时日元汇率自套利交易（carrytrade）消失以来不断走强套利交易在日元被视为廉价融资工具时期极为盛行。

This is at a time when competition in all product markets has never been stronger and Japan is coping with a currency that has strengthened since the disappearance of the carry trades that flourished when the yen was seen as a cheap funding vehicle .

在此基础上，本文提出了降低IPO抑价水平、推进发行市场改革、维持一、二级市场正常套利机制的政策建议。

At last , we made suggestions to bring down the rate of IPO underpricing , accelerate the reform in the primary market , and maintain the arbitrary system between the first and secondary market .

使用其AAA评级为银行CDO提供保险的美国国际集团（AIG）金融产品部门，为银行提供了基于评级的监管套利。

American International Group 's financial products unit , which used its triple-A rating to insure CDOs for banks , offered them a regulatory arbitrage based on ratings .

经典的资产定价和投资组合构造理论，如CAPM模型和无套利资产定价模型（APT），没有考虑到投资者在不同市况中所面临风险的多态性。

The classic capital asset pricing theory and portfolio selection models such as CAPM and APT , do not allow the polymorphism of market risk which is the typical characteristics of financial market .

似乎到大约去年11月下旬的时候，套利交易就已被排挤在金融体系之外&当时，VIX指数和日元不再联袂攀升。

The carry trade appears to have been squeezed out of the system by about late November , when the yen and the Vix halted their joint ascent .

西莫塔斯（PhilipSimotas）在专门投资汇市的对冲基金FXConcepts担任总裁，他说，美元正在遭遇同样的命运，美元是融资套利交易的理想借入货币。

' It 's one thing that 's working against the dollar , 'said Philip Simotas , president of FX Concepts , a currency-focused hedge fund . 'It 's a great currency to fund out of .

根据香港瑞穗证券亚洲（MizuhoSecuritiesAsia）首席经济学家沈建光的说法，由于到去年10月下旬银行间市场利率一直保持在低位，各银行发行存款单，然后将现金收入投资于债市，实现利润丰厚的套利。

As a consequence of interest rates being kept low in the interbank market until late October , banks issued certificates of deposit and then put the proceeds in the bond market in a lucrative arbitrage , according to Jianguang Shen , chief Asia economist at Mizuho Asia Securities in Hong Kong .

所有类型的资产负债表外贷款和套利平台[即管道类和结构性投资工具（SIV）]都受到牵连，它们难以获得维持自身运作的短期融资。

All kinds of off-balance-sheet lending and arbitrage platforms ( known as conduits and structured investment vehicles , or SIVs ) have been infected to the point that they are struggling to raise the short-term debt that keeps them afloat .

自7月之后，随着投资者撤出风险投资，他们开始解除部分所谓的日元套利交易（carry-trade）头寸。

Before July , when investors began to reverse some so-called yen carry-trade positions amid a retreat from risk , the Japanese currency had been trading at above Y120 to the dollar .

第三部分对ETF套利流程和影响因数进行了分析，详细论述ETF套利原理和条件，分析跟踪误差、溢折价、套利成本对套利的影响；

ETF working procedure and influencing factors will be discussed in the third part , and it will involve ETF arbitrage principle and its condition . Tracking Error , discount , and premium and how arbitrage costs will affect to arbitrage will be analyzed in this paper .