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Arbitrage pricing theory in international markets; Teoria de apreçamento arbitragem aplicada a mercados internacionais

Bernat, Liana Oliveira
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 05/09/2011 EN
Relevância na Pesquisa
36.99%
This dissertation studies the impact of multiple pre-specified sources of risk in the return of three non-overlapping groups of countries, through an Arbitrage Pricing Theory (APT) model. The groups are composed of emerging and developed markets. Emerging markets have become important players in the world economy, especially as capital receptors, but they were not included in the majority of previous related works. Two strategies are used to choose two set of risk factors. The first one is to use macroeconomic variables, as prescribed by most of the literature, such as world excess return, exchange rates, variation in the spread between Eurodollar deposit tax and U.S. Treasury bill (TED spread) and change in the oil price. The second strategy is to extract factors by using a principal component analysis, designated as statistical factors. The first important result is a great resemblance between the first statistical factor and the world excess return. We estimate the APT model using two statistical methodologies: Iterated Nonlinear Seemingly Unrelated Regression (ITNLSUR) by McElroy and Burmeister (1988) and the Generalized Method Moments (GMM) by Hansen (1982). The results from both methods are very similar. With macroeconomic variables...

Modelos de arbitragem estatística: um estudo empírico no mercado brasileiro de ações; Statistical arbitrage models: an empirical study in the Brazilian equity market

Migliorini, Tarik Laiter
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 28/06/2013 PT
Relevância na Pesquisa
37.14%
Este trabalho tem como intuito aplicar quatro estratégias de arbitragem estatística ao mercado acionário brasileiro no período compreendido entre 2004 e 2012. A primeira delas explora o fenômeno de momentum e tem como referência Jegadeesh e Titman (1993). A segunda trata de replicação de benchmarks utilizando técnicas de cointegração e foi baseada parcialmente em Alexander e Dimitriu (2002). A terceira é uma estratégia do tipo pair trade e tem referência em Gatev et al (2006). A última é uma estratégia de reversão de preços relativos de uma cesta de ações utilizando a abordagem de componentes principais e tem como referência Avellaneda e Lee (2010). Foram implementadas algumas modificações nas estratégias de forma que estas se adaptassem a certas características do mercado brasileiro e possuíssem maior grau de realismo: 1) o nível de alavancagem foi controlado de forma mais rigorosa; 2) os principais parâmetros foram determinados endogenamente, com dados fora da amostra. 3) só foram consideradas ações com grau razoável de liquidez; e 4) os custos de transação foram obtidos de séries cotadas, ao invés de fixados arbitrariamente. Os resultados mostraram que, após a contabilização dos custos de transação...

Arbitragem nos mercados financeiros: uma proposta bayesiana de verificação; Arbitrage in financial markets: a Bayesian approach for verification

Cerezetti, Fernando Valvano
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 20/05/2013 PT
Relevância na Pesquisa
37.38%
Hipóteses precisas são características naturais das teorias econômicas de determinação do valor ou preço de ativos financeiros. Nessas teorias, a precisão das hipóteses assume a forma do conceito de equilíbrio ou da não arbitragem. Esse último possui um papel fundamental nas teorias de finanças. Sob certas condições, o Teorema Fundamental do Apreçamento de Ativos estabelece um sistema único e coerente para valorização dos ativos em mercados não arbitrados, valendo-se para tal das formulações para processos de martingal. A análise da distribuição estatística desses ativos financeiros ajuda no entendimento de como os participantes se comportam nos mercados, gerando assim as condições para se arbitrar. Nesse sentido, a tese defendida é a de que o estudo da hipótese de não arbitragem possui contrapartida científica, tanto do lado teórico quanto do empírico. Utilizando-se do modelo estocástico Variância Gama para os preços dos ativos, o teste Bayesiano FBST é implementado com o intuito de se verificar a existência da arbitragem nos mercados, potencialmente expressa nos parâmetros destas densidades. Especificamente, a distribuição do Índice Bovespa é investigada, com os parâmetros risco-neutros sendo estimados baseandose nas opções negociadas no Segmento de Ações e no Segmento de Derivativos da BM&FBovespa. Os resultados aparentam indicar diferenças estatísticas significantes em alguns períodos de tempo. Até que ponto esta evidência é a expressão de uma arbitragem perene nesses mercados ainda é uma questão em aberto.; Precise hypotheses are natural characteristics of the economic theories for determining the value or prices of financial assets. Within these theories the precision is expressed in terms of equilibrium and non-arbitrage hypotheses. The former concept plays an essential role in the theories of finance. Under certain conditions...

O espaço da arbitragem no Brasil : notáveis e experts em busca de reconhecimento; Arbitration in brazil: notables and experts in search of recognition; L´espace de l´arbitrage au brésil : des notables et experts en quête de reconnaissance

Engelmann, Fabiano
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Artigo de Revista Científica Formato: application/pdf
POR
Relevância na Pesquisa
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O artigo expõe resultados de uma pesquisa sócio-política sobre a construção do espaço da arbitragem no Brasil. O argumento consiste em três pontos centrais. O primeiro privilegia a mobilização em torno da justiça arbitral como “causa política” que envolve advogados, professores e políticos vinculados às associações empresariais e institutos liberais e tem como principal resultado a concretização de um marco institucional para as práticas arbitrais, a Lei n. 9 307 promulgada em 1996. Uma segunda dimensão focaliza os autores e publicações sobre arbitragem indicando a difusão de idéias e a especialização disciplinar ao longo da década de 2000. Na terceira parte, aborda-se o espaço dos árbitros no Rio Grande do Sul investigando-se as condicionantes de seu desenvolvimento. A pesquisa é de natureza qualitativa e privilegia diversas bases de dados, destacando-se publicações legais, jornalísticas e acadêmicas, currículos vitae e entrevistas semiestruturadas. Destaca-se como principal resultado a explicitação das dificuldades de legitimação deste modelo de mediação de conflitos frente ao sistema judicial estatal no caso estudado. O artigo está organizado em três partes. Na primeira procura-se recompor elementos para compreensão da difusão do ideário arbitral no Brasil e da mobilização em torno da construção do marco institucional para sua prática. Na segunda...

Limites da arbitragem no mercado de capitais : abordagem das finanças comportamentais; Limits to arbitrage in the capital market : behavioral finance approach

Vitor Kamada
Fonte: Biblioteca Digital da Unicamp Publicador: Biblioteca Digital da Unicamp
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 12/08/2010 PT
Relevância na Pesquisa
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Esta dissertação trata dos limites à arbitragem no mercado de capitais. A idéia básica subjacente ao processo de arbitragem é comprar ativos financeiros desvalorizados e vender ativos financeiros supervalorizados. A finalidade é obter ganhos pecuniários mediante o diferencial dos preços. A economia neoclássica supõe que a arbitragem é processo instantâneo sem custos e riscos realizado por agentes atomísticos. No presente trabalho, essa hipótese é contestada com base nos avanços teóricos das Finanças Comportamentais. Na realidade, a arbitragem é sofisticada estratégia de investimento planejada por poucos profissionais altamente especializados em determinados mercados. Não obstante a arbitragem envolver substanciais custos e riscos, não há garantias de sucesso. A análise de casos concretos sugere que a concepção de arbitragem proposta pelas Finanças Comportamentais é mais realista. Três casos paradigmáticos foram analisados neste trabalho, a saber: I) empresas controladoras que valiam menos do que suas subsidiárias, como o exemplo da 3Com/Palm; II) ações gêmeas cujos preços desviavam-se da paridade teórica, como o exemplo da Royal Dutch/Shell; e III) o colapso do hedge fund Long-Term Capital Management (LTCM). No primeiro caso...

An Arbitrage Model for the Stock Price Adjustment in the Dividend Period

Borges, Maria Rosa
Fonte: ISEG – Departamento de Economia Publicador: ISEG – Departamento de Economia
Tipo: Outros
Publicado em //2007 ENG
Relevância na Pesquisa
37.14%
Following a dividend distribution, investors expect the stock price to decrease on the ex-dividend day. With no market imperfections, the price decrease should exactly match the amount of the dividend, thus eliminating all opportunities for profitable arbitrage. Allowing for different taxes on dividends and on capital gains results in a stock price adjustment ratio different from one, but there is still a unique equilibrium. With a simple model, considering four types of investors, we show that the consideration of transaction costs results in multiple possible equilibria (equilibrium zone), defined by the arbitrage boundaries of each type of investors. We also show that trading activity by the different types of investors is reflected in abnormal trading volume.

$100 Bills on the Sidewalk: Violations of No-Arbitrage in 401(k) Accounts

Choi, James J.; Madrian, Brigitte; Laibson, David I.
Fonte: MIT Press Publicador: MIT Press
Tipo: Artigo de Revista Científica
EN_US
Relevância na Pesquisa
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We identify employees at seven companies whose 401(k) investment choices are dominated because they are contributing less than the employer matching contribution threshold despite being vested in their match and being able to make penalty-free 401(k) withdrawals for any reason because they are older than 59½. At the average firm, 36% of match-eligible employees over age 59½ forgo arbitrage profits that average 1.6% of their annual pay, or $507. A survey educating employees about the free lunch they are forgoing raised contribution rates by a statistically insignificant 0.67% of income among those completing the survey.

Arbitrage in a discrete version of the Wick-Fractional Black Scholes model

Bender, C.; Elliott, R.
Fonte: Inst Operations Research Management Sciences Publicador: Inst Operations Research Management Sciences
Tipo: Artigo de Revista Científica
Publicado em //2004 EN
Relevância na Pesquisa
37.14%
We consider binary market models based on the discrete Wick product instead of the pathwise product and provide a sufficient criterion for the existence of an arbitrage. This arbitrage is explicitly constructed in the class of self-financing one-step buy-and-hold strategies, (i.e., the investor holds shares of the stock only at one time step). Using coefficients obtained from an approximation of a fractional Brownian motion with Hurst parameter ½ < H < 1 the result is applied to a discrete version of the (Wick-)fractional Black-Scholes market.; Christian Bender and Robert J. Elliott

Captive offshoring of new product development in Brazil: how does arbitrage influence local, collaborative relationships?

Boehe, D.
Fonte: Springer Verlag Publicador: Springer Verlag
Tipo: Artigo de Revista Científica
Publicado em //2010 EN
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37.24%
This paper focuses on captive offshoring of new product development (NPD), i.e., relocating projects or project phases to foreign-based, wholly-owned, multinational corporation (MNC) subsidiaries (captive offshore units) to benefit from cost and efficiency advantages and/or from access to complementary technological resources and capabilities. Adopting a host country perspective, we theorize why different forms of local collaboration may complement or conflict with efficiency-seeking or arbitrage strategies and may thus influence why captive offshore units receive new product development orders from other MNC units located abroad. Using a sample from Brazil and applying structural equation modeling with partial least squares (PLS), we find that local NPD outsourcing constitutes a complementary relationship, while local cooperation with clients creates a trade-off relationship with captive offshoring. That these relationships are moderated by the captive offshore unit’s cost position within the MNC suggests that arbitrage effects transcend the headquarter-subsidiary relationship into the sphere of MNC subsidiaries’ local collaborations. Our findings imply that arbitrage in multinational contexts affects the interdependence between resources and transaction costs.; Dirk M. Boehe

Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; Romo, Juan
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /09/2009 ENG
Relevância na Pesquisa
37.46%
This paper analyzes possible arbitrage opportunities in credit derivatives markets using selffinancing strategies combining Credit Default Swaps and Asset Swaps Packages. We present a new statistical arbitrage test based on the subsampling methodology which has lower Type I error than existing alternatives. Using four different databases covering the period from 2005 to 2009, long-run (cointegration) and statistical arbitrage analysis are performed. Before the subprime crisis, we find long-run arbitrage opportunities in 26% of the cases and statistical arbitrage opportunities in 24% of the cases. During the crisis, arbitrage opportunities decrease to 8% and 19%, respectively. Arbitrage opportunities are more frequent in the case of relatively low rated bonds and bonds with a high coupon rate.

Projective System Approach to the Martingale Characterization of the Absence of Arbitrage

Balbás, Alejandro; Mirás, Miguel Ángel; Muñoz-Bouzo, María José
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em /07/2002 ENG
Relevância na Pesquisa
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The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a projective system of perfect measure spaces, we characterize the absence of arbitrage when the time set is countable.

Stochastic measures of arbitrage

Balbás, Alejandro; Muñoz-Bouzo, María José
Fonte: Springer Berlin / Heidelberg Publicador: Springer Berlin / Heidelberg
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em //2002 ENG
Relevância na Pesquisa
37.38%
Empirical research has provided evidence supporting the existence of arbitrage opportunities in real financial markets although market imperfections are often the main reason to explain these empirical deviations. Consequently, recent literature has turned the attention to imperfect markets in order to extend the most significant results on asset pricing. This paper develops several stochastic measures providing relative arbitrage earnings available in a financial market. The measures allow us to take into account different type of frictions. They are introduced by means of several dual pairs of vector optimization problems. Primal problems permit us to characterize the arbitrage absence even in an imperfect market and they also provide optimal arbitrage portfolios if the arbitrage absence fails. Dual ones allow us to extend the risk-neutral valuation methodology for imperfect and noarbitrage free markets and provide new interpretations for the measures in terms of “frictions effect” or “committed errors” in the valuation process.

Integration and arbitrage in the spanish financial markets: an empirical approach

Balbás, Alejandro; Longarela, Iñaki R.; Pardo, Ángel
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /12/1997 ENG
Relevância na Pesquisa
37.38%
Several authors have introduced different ways to measure the integration between fmancial markets. Most of them are derived from the basic assumptions to price assets, like the Law of One Price or the absence of arbitrage opportunities. Two perfectly integrated markets must give identical price to identical fmal payoffs, and a vector of positive discount factors, common to both markets, must exist. Therefore, if these properties do not hold, their degree of violation can be measured and considered as an integration measure. The present paper empirically test the integration measures in the Spanish fmancial markets. Hence, several interesting values are obtained, like for instance, the state prices or the risk-neutral probabilities. Furthermore, when the risk-neutral probabilities do not exist, explicit cross-market arbitrage portfolios are detected. The results of our test are surprising for several reasons. First of all, the arbitrage opportunities very often appear, and the bid-ask spread and the transaction costs are not able to avoid the arbitrage profits. Furthermore, the criticisms, which are usually argued when empirical papers show the existence of arbitrage opportunities, do not apply here, since we work with perfectly synchronized high frequency data. On the other hand...

The microeconomics of bullionism : arbitrage, smuggling and silver outflows in Spain in the early 18th century

Nogues-Marco, Pilar
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em /06/2011 ENG
Relevância na Pesquisa
37.14%
In the Early Modern period, there was a systematic flow of precious metals from the American colonies to Spain and Portugal and, from there, throughout the world. In this paper, I use newly discovered data on the black market for silver in Cadiz to reconstruct a picture of Castilian smuggling and international silver flows in the Age of Bullionism (1729-1741). The arbitrage equation shows persistent violations of the silver-point that made arbitrage systematically profitable until devaluation pegged the exchange rate to the arbitrated parity. Market structure explains the persistent violations. The Cadiz shadow price was lower than the international market price because bullionist regulations configured an oligopsonistic structure. The price gap was the reason for the Castilian silver outflows to Europe

Sequential arbitrage measurements and interest rate envelopes

Balbás, Alejandro; López, Susana
Fonte: Springer Publicador: Springer
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article Formato: application/pdf
Publicado em /09/2008 ENG
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This paper proposes new measures that provide us with the level of sequential arbitrage in bond markets. All the measures vanish in an arbitrage-free market and all of them are positive otherwise. Each measure is generated by a dual pair of optimization problems. Primal problems permit us to compute optimal sequential arbitrage strategies, if available. Each dual problem generates a concrete proxy for the term structure of interest rates. The set of proxies allows us to obtain the exact market price of any bond and may measure several effects. For instance, the credit risk spread of nondefault free bonds, or the embedded option price of callable or extendible bonds. The developed theory has been tested empirically.; Research partially supported by Welzia Management SGIIC, RD_Sistemas, Comunidad Autónoma de Madrid (Spain), Grant s-0505/tic/000230, and MEyC (Spain), Grant SEJ2006-15401-C04-03

Martingales and Arbitrage: a new look

Balbás, Alejandro; Jimenez Guerra, Pedro
Fonte: Springer Publicador: Springer
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article
Publicado em /06/2009 ENG
Relevância na Pesquisa
37.38%
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalent martingale measures. The equivalence will be established under quite weak assumptions since there are no conditions on the set of trading dates (it may be finite or countable, with bounded or unbounded horizon, etc.) or on the trajectories of the price process (for instance, they do not have to be right-continuous). Besides we will deal with arbitrage portfolios rather than free-lunches. The concept of arbitrage is much more intuitive than the concept of free lunch and has more clear economic interpretation. Furthermore it is more easily tested in theoretical models or practical applications. In order to overcome the usual mathematical difficulties arising when dealing with arbitrage strategies, the set of states of nature will be widened by drawing on projective systems of Radon probability measures, whose projective limit will be the martingale measure. The existence of densities between the "real" probabilities and the "risk-neutral" probabilities will be guaranteed by introducing the concept of "projective equivalence". Hence some classical counter-examples will be solved and a complete characterization of the absence of arbitrage will be provided in a very general framework.; Research partially supported by “Comunidad Autónoma de Madrid” (Spain)...

Sequential arbitrage measurement in bond markets : theory and empirical applications in the Euro-zone

Balbás, Alejandro; Peng, Yao
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper
Publicado em 14/01/2015 ENG
Relevância na Pesquisa
37.46%
We develop a mathematical programing approach in order to measure the arbitrage size in bond markets. Transaction costs may be incorporated. The obtained arbitrage measures have two interesting interpretations: On the one hand they provide the highest available arbitrage profit with respect to the price of the sold (bought) securities. On the other hand they give the minimum relative (per dollar) bid (ask) price modification leading to an arbitrage free market. Moreover, some primal problems lead to optimal arbitrage strategies (if available), while their dual problems generate proxies for the Term Structure of Interest Rates. The developed methodology permits us to implement an empirical test in the Euro-zone during the Euro crisis. Classical literature justifies the relevance of empirical analyses verifying the degree of efficiency during market turmoils. Our empirical study of the German, French and Spanish sovereign bonds markets finds that the main arbitrage opportunities come from the price differences between maturity-matched strips or "On-The-Run Premium" for zero-coupon bonds. When we remove the strips and the zero-coupon bonds the arbitrage still exists in the Spanish market.

An extensile method on the arbitrage pricing theory based on downside risk (D-APT)

Baghdadabad, M.R.T.; Glabadanidis, P.T.
Fonte: Emerald Group Publishing Limited Publicador: Emerald Group Publishing Limited
Tipo: Artigo de Revista Científica
Publicado em //2014 EN
Relevância na Pesquisa
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PURPOSE – The purpose of this paper is to propose a new and improved version of arbitrage pricing theory (APT), namely, downside APT (D-APT) using the concepts of factors’ downside beta and semi-variance. DESIGN/METHODOLOGY/APPROACH – This study includes 163 stocks traded on the Malaysian stock market and uses eight macroeconomic variables as the dependent and independent variables to investigate the relationship between the adjusted returns and the downside factors’ betas over the whole period 1990-2010, and sub-periods 1990-1998 and 1999-2010. It proposes a new version of the APT, namely, the D-APT to replace two deficient measures of factor's beta and variance with more efficient measures of factors’ downside betas and semi-variance to improve and dispel the APT deficiency. FINDINGS – The paper finds that the pricing restrictions of the D-APT, in the context of an unrestricted linear factor model, cannot be rejected over the sample period. This means that all of the identified factors are able to price stock returns in the D-APT model. The robustness control model supports the results reported for the D-APT as well. In addition, all of the empirical tests provide support the D-APT as a new asset pricing model, especially during a crisis. RESEARCH LIMITATIONS/IMPLICATIONS – It may be worthwhile explaining the autocorrelation limitation between variables when applying the D-APT. PRACTICAL IMPLICATIONS – The framework can be useful to investors...

L'intervention du juge canadien avant et durant un arbitrage commercial international

Bachand, Frédéric
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Thèse ou Mémoire numérique / Electronic Thesis or Dissertation Formato: 26079122 bytes; application/pdf
FR
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Cette thèse précise les conditions dans lesquelles les tribunaux judiciaires canadiens peuvent intervenir avant ou durant un arbitrage commercial international, soit afin d'y prêter assistance, soit afin d'en contrôler la légalité. Elle soumet également ces conditions à l'analyse critique, dans le but d'esquisser une théorie générale de l'intervention avant et durant un arbitrage commercial international des juges oeuvrant dans les États qui ont choisi d'accorder leur concours à la justice arbitrale internationale. Principalement, cette théorie repose sur l'idée selon laquelle l'intervention judiciaire survenant avant le prononcé de la sentence ne doit - à quelques exceptions près - servir que les intérêts des opérateurs du commerce international, les intérêts publics prépondérants ne devant être pris en compte que dans l'élaboration des conditions de l'intervention judiciaire survenant après le prononcé de la sentence. De cette idée directrice découlent deux conséquences majeures. D'abord, les ordres juridiques des États qui accordent leur concours à la justice arbitrale internationale doivent être perméables à des faits normatifs transnationaux qui s'intéressent à l'intervention judiciaire avant et durant un arbitrage commercial international...

Asymptotic proportion of arbitrage points in fractional binary markets

Cordero, Fernando; Klein, Irene; Perez-Ostafe, Lavinia
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
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A fractional binary market is an approximating sequence of binary models for the fractional Black-Scholes model, which Sottinen constructed by giving an analogue of the Donsker's theorem. In a binary market the arbitrage condition can be expressed as a condition on the nodes of a binary tree. We call "arbitrage points" the points in the binary tree which verify such an arbitrage condition and "arbitrage paths" the paths in the binary tree which cross at least one arbitrage point. Using this terminology, a binary market admits arbitrage if and only if there is at least one arbitrage point in the binary tree or equivalently if there is at least one arbitrage path. Following the lines of Sottinen, who showed that the arbitrage persists in the fractional binary market, we further prove that starting from any point in the tree, we can reach an arbitrage point. This implies that, in the limit, there is an infinite number of arbitrage points. Next, we provide an in-depth analysis of the asymptotic proportion of arbitrage points at asymptotic levels and of arbitrage paths in the fractional binary market. All these results are obtained by studying a rescaled disturbed random walk. We moreover show that, when $H$ is close to $1$, with probability $1$ a path in the binary tree crosses an infinite number of arbitrage points. In particular...