Dissertations / Theses on the topic 'Arbitrage Theory'

Determination of the stock expected return is an important element of asset management. This paper presents an Arbitrage Pricing Theory model, which strives to estimate the expected return explaining the historical volatility of the stock prices. This paper presents the model as it was introduced, necessary extension for application to a small market included. Statistical methods on which the model has been build are discussed -- factor analysis completed by principal component analysis. In the practical part, the model is applied to the Czech market with an assessment of the success of the application. The forces which were expected to represent risk factors for the market have been examined as well. It will be shown that the model may contribute to the understanding of risk behaviour of the stocks.

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Trata da explicação da teoria do APT, abarcando o estudo de suas fontes de referência, pressupostos, modelo matemático, testes empíricos e estudos de aplicação prática de suas medidas de risco. Ressalta os aportes da teoria ao estudo do risco de preços da Teoria Financeira, descrevendo os trabalhos que identificaram vantagens do APT em relação ao CAPM, relativas ao conteúdo econômico de sua equação de equilíbrio e compravaçãu empírica. Inclue um levantamento das críticas realizadas à teoria, destacando os argumentos de resposta fornecidos pelos defensores do APT. Também explica a: metccoloçias de estimativa e teste do modelo, ilustrando a forma em que são mensurados os fatores econórnicc, de risco de preços

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, only the world excess of return is priced in the three groups with a premium varying from 4.4% to 6.3% per year and, in the model with statistical variables, only the first statistical factor is priced in all groups with a premium varying from 6.2% to 8.5% per year.
Essa dissertação estuda o impacto de múltiplas fontes de riscos pré-especificados nos retornos de três grupos de países não sobrepostos, através de um modelo de Teoria de Precificação por Arbitragem (APT). Os grupos são compostos por mercados emergentes e desenvolvidos. Mercados emergentes tornaram-se importantes na economia mundial, especialmente como receptores de capital, mas não foram inclusos na maioria dos trabalhos correlatos anteriores. Duas estratégias foram adotadas para a escolha de dois conjuntos de fatores de risco. A primeira foi utilizar variáveis macroeconômicas, descritas na maior parte da literatura, como e excesso de retorno da carteira mundial, taxas de câmbio, variação da diferença entre a taxa de depósito em Eurodólar e a U.S. Treasury Bill (TED Spread) e mudanças no preço do petróleo. A segunda estratégia foi extrair fatores de risco através de uma análise de componentes principais, denominados fatores estatísticos. O primeiro resultado importante é a grande semelhança entre o primeiro fator estatístico e o retorno da carteira mundial. Nós estimamos o modelo APT usando duas metodologias estatísticas: Regressões Aparentemente não Correlacionadas Iteradas (ITNLSUR) de McElroy e Burmeister (1988) e o Método dos Momentos Generalizados (GMM) de Hansen (1982). Os resultados de ambas as metodologias são muito similares. Utilizando variáveis macroeconômicas, apenas o excesso de retorno da carteira mundial é precificado nos três grupos com prêmios variando de 4,4% a 6.3% ao ano e, no modelo com variáveis estatísticas, apenas o primeiro fator estatístico é precificado em todos os grupos com prêmios que variam entre 6,2% a 8,5% ao ano.

Thesis (MSc)--Stellenbosch University, 2013.
ENGLISH ABSTRACT: In modern theory of finance, the so-called First and Second Fundamental Theorems of Asset Pricing play an important role in pricing options with no-arbitrage. These theorems gives a necessary and sufficient conditions for a market to have no-arbitrage and for a market to be complete. An early version of the First Fundamental Theorem of Asset Pricing was proven by Harrison and Kreps [30] in the case of a finite probability space. A more general version was proven by Harrison and Pliska [31] in the case of a finite probability space and discrete time. In the case of continuous time, Delbaen and Schachermayer [19] introduced a more general concept of no-arbitrage called "No-Free Lunch With Vanishing Risk" (NFLVR), and showed that for a locally-bounded semimartingale price process NFLVR is essentially equivalent to the existence of an equivalent local martingale measure. The goal of this thesis is to review the theory of arbitrage pricing and the extension of this theory to include liquidity risk. At the current time, liquidity risk is a key challenge faced by investors. Consequently there is a need to develop more realistic pricing models that include liquidity risk. We present an approach to liquidity risk by Çetin, Jarrow and Protter [10]. In to this approach the liquidity risk is embedded into the classical theory of arbitrage pricing by having investors act as price takers, and assuming the existence of a supply curve where prices depend on trade size. This framework assumes that the quantity impact on the price transacted is momentary. Using trading strategies that are both continuous and of finite variation allows one to avoid liquidity costs. Therefore, the First and Second Fundamental Theorems of Asset Pricing and the Black-Scholes model can be extended.
AFRIKAANSE OPSOMMING: In moderne finansiële teorie speel die sogenaamde Eerste en Tweede Fundamentele Stellings van Bateprysbepaling ’n belangrike rol in die prysbepaling van opsies in arbitrage-vrye markte. Hierdie stellings gee nodig en voldoende voorwaardes vir ’n mark om vry van arbitrage te wees, en om volledig te wees. ’n Vroeë weergawe van die Eerste Fundamentele Stelling was deur Harrison en Kreps [30] bewys in die geval van ’n eindige waarskynlikheidsruimte. ’n Meer algemene weergawe was daarna gepubliseer deur Harrison en Pliska [31] in die geval van ’n eindige waarskynlikheidsruimte en diskrete tyd. In die geval van kontinue tyd het Delbaen en Schachermayer [19] ’n meer algemene konsep van arbitragevryheid ingelei, naamlik “No–Free–Lunch–With–Vanishing–Risk" (NFLVR), en aangetoon dat vir lokaalbegrensde semimartingaalprysprosesse NFLVR min of meer ekwivalent is aan die bestaan van ’n lokaal martingaalmaat. Die doel van hierdie tesis is om ’n oorsig te gee van beide klassieke arbitrageprysteorie, en ’n uitbreiding daarvan wat likideit in ag neem. Hedendaags is likiditeitsrisiko ’n vooraanstaande uitdaging wat beleggers die hoof moet bied. Gevolglik is dit noodsaaklik om meer realistiese modelle van prysbepaling wat ook likiditeitsrisiko insluit te ontwikkel. Ons bespreek die benadering van Çetin, Jarrow en Protter [10], waar likiditeitsrisiko in die klassieke arbitrageprysteorie ingesluit word deur die bestaan van ’n aanbodkromme aan te neem, waar pryse afhanklik is van handelsgrootte. In hierdie raamwerk word aangeneem dat die impak op die transaksieprys slegs tydelik is. Deur gebruik te maak van handelingsstrategië wat beide kontinu en van eindige variasie is, is dit dan moontlik om likiditeitskoste te vermy. Die Eerste en Tweede Fundamentele Stellings van Bateprysbepaling en die Black–Scholes model kan dus uitgebrei word om likiditeitsrisiko in te sluit.

This paper uses a multi-factor Arbitrage Pricing model to measure the systematic risks of U.S. Foreign Direct Investments (FDI) in the largest emerging markets of Latin America: Argentina, Brazil, Chile, and Mexico. The Arbitrage Pricing Theory (APT) states that returns on investments are exposed to and affected by a number of economy-wide factors or risks. Moreover, risk is defined as the potential losses due to the unanticipated or unexpected changes in the systematic risk factors . Because the unexpected changes in those factors account for the discrepancies between expected and actual returns, we can measure systematic risk by using traditional econometrics and multivariable analysis. Essentially, APT postulates expected returns are a linear function of unexpected changes in various regressors. The magnitude and sign of the coefficients generated provide a way to obtain a dollar denominated time explicit measure of risk. This model is estimated with a variety of estimators and it identifies four risk factors: the annual growth rates of Gross Domestic Product (GDP), money supply (M1), total exports, and total external debt, as determinants of returns. The Ordinary Least Square (OLS) results are somewhat robust--three out of four factors have the expected sign, thus supporting the hypothesis. GLS procedures reveal similar results.
Master of Arts

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O presente trabalho tem como objetivos explicar os retornos do índice da Bolsa de valores de São Paulo, o IBOVESPA, no período após a implantação do Plano Real, iniciando-se por janeiro de 1995 e tínanzando-se em agosto de 1998, através de variáveis macroeconômicas, utilizando-se do ferramental proposto pelo 'Arbitrage Pricing Theory', considerando trabalhos realizados no mundo, bem como as especificidades do mercado brasileiro e divulgar a teoria, suas premissas e vantagens à comunidade e ao mercado, a fim de estimular sua utilização, através do uso de variáveis de fácil acesso aos analistas.

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This thesis seeks to investigate the risk factors that determine the returns of the FIIs traded in the stock exchange and organized counter markets of the BVMF, through the estimation of the APT model, according to the two classic approaches. For this purpose two APT models were estimated one with macroeconomic risk factors and a principal component analysis (PCA) of the returns of the FIIs selected for the sample. The results obtained indicate low explanatory power of the two APT models and, except for the ETTJt interest rate structure, no statistical significance was observed for the macroeconomic risk factors, results different from those obtained by Chan, Hendershott and Sanders (1990) for the US REITs market and similar to the results obtained by Rebeschini and Leal (2016) for the Brazilian stock investment funds market. This may indicate that despite the recent strong growth in the Brazilian FII market, the level of FIIs' Brazilian market development is still low, especially when compared to other assets traded in the Brazilian financial market or similar assets traded in foreign markets. Being observed a large number of FIIs with a single portfolio asset, which, together with the results obtained in previous studies and principal component analysis (PCA), suggest that FII returns are more related to the characteristics of the underlying assets than to risk factors related to market indices.
A presente dissertação busca investigar os fatores de risco que determinam os retornos dos fundos de investimentos imobiliários - FIIs negociados nos mercados de bolsa e balcão organizado da BVMF , mediante a estimação do modelo Arbitrage Princing Theory - APT, originalmente proposto por Ross (1976), conforme as duas principais abordagens. Para tanto foram estimados dois modelos APT um com fatores de risco macroeconômicos e uma Análise de Componentes Principais - PCA dos retornos dos FIIs selecionados para a amostra. Os resultados obtidos indicam baixo poder explicativo dos dois modelos APT e exceto pela estrutura de taxa de juros ETTJt não foi observada significância estatística dos fatores de risco macroeconômicos, resultados diferentes dos obtidos por Chan, Hendershott e Sanders (1990) para o mercado americano de REITs e semelhante aos resultado obtidos por Rebeschini e Leal (2016) para o mercado de fundos de investimento em ações brasileiros. O que pode indicar que apesar do forte crescimento recente do mercado brasileiro de FIIs, ainda é baixo o nível de desenvolvimento do mercado brasileiro de FIIs, principalmente se comparado a outros ativos negociados no mercado financeiro brasileiro ou de ativos semelhantes negociados em mercados estrangeiros, sendo observado ainda um grande número de FIIs com um único ativo em carteira, o que aliado aos resultados obtidos em trabalhos anteriores e na análise de componentes principais (PCA) sugerem que os retornos dos FIIs estão mais relacionados às características próprias dos ativos subjacentes do que à fatores de risco relacionados à índices de mercado.

The objective of this thesis was to analyse the empirical applicability of the Arbitrage Pricing Theory to international asset markets (UK stock market and US stock market) and to identify the set of economic variables which correspond most closely with the stock market factors obtained from the traditional factor analysis. Factor analysis and canonical correlation analysis were used as the principal tools for the empirical testing. Although factor analysis is frequently used, canonical correlation analysis is an new technique in this area and provides a method of linking factors extracted from the two sets of data. Various economic indicators were investigated as systematic influences on stock returns. It was shown that, based on the foundations of the APT and the characteristics of the factor scores from the factor analysis on the security returns and the economic indicators, canonical correlation analysis is an approximate technique to link the stock market and the economic forces. The results using the UK data imply that there is a good correspondence between factor scores generated by the factor analysis on the UK security returns and on the UK economic indicators. The results using the US data show that there is also a fair correspondence, but lower than that for the UK data, between factor scores generated by the factor analysis on the US security returns and on the US economic indicators. The APT was also investigated in an international setting by considering the UK data and the US data together. The results show that the canonical correlation analysis successfully links the stock returns and economic forces. The conclusion of these empirical findings is that security returns are influenced by a number of systematic economic forces. The validity and applicability of the APT were also empirically evaluated. The regression results show that the explanatory power of the APT model is fairly good. The overall results obtained here appear to suggest that the APT pricing relationship is supported by the testing methodology. In addition, the international correlation structure of financial markets movements between the UK economy and the US economy has been analysed. On balance, the evidence favours the APT and there is available evidence of inter-market linkage between the UK and the US. Individual sets of economic variables have been identified which correspond most closely with the UK and the US stock market factors by using the canonical correlation analysis. The results, at least partially, contribute to the understanding of security market pricing.

Monthly returns on twenty-seven Eurobonds from July 1982 to June 1986 were examined. There were no consistent differences in returns based on the country in which a firm is located. There were consistent differences due to industry classification, with energy-related firms exhibiting higher average returns and variances. Excess returns were calculated using the capital asset pricing model and arbitrage pricing theory. The results from calculation of mean average deviation, root mean square, and R2 all indicate that the arbitrage pricing theory was a better descriptor of the Eurobond market. The excess returns were also examined using stochastic dominance. Arbitrage pricing theory never dominated the capital asset pricing model using first-order criteria, but consistently dominated using second-order criteria. The results were discussed in terms of the implications for investors and portfolio managers.

This study describes the joint dynamics of the U.K. risk-free government bonds and risky corporate bond yields using a large set of macroeconomic and market variables. In this context, the thesis develops for the new understanding of the determination of the yield curve and contributes to the literature in three ways. First, this study introduces and consistently estimates a no-arbitrage affine term­structure model which takes fll advantage of a data rich environment and disentangles the individual effects of the factors driving the risk-free term structure of interest rates and credit spreads. The study incorporates three observable risk dimensions, the traditionally studied variables of real activity and inflation, together with a novel factor which represents financial market activity. The empirical results indicate that the impact of the market factor is comparable in absolute value to the impact of the inflation and the real activity factors at medium and long-term maturities of risk-free yields and also corporate credit spreads. At short maturities, the market factor is at least as important as inflation but less important than real activity. For corporate credit spreads, the impact of the market factor is more pronounced at short and long maturities for lower-rated BBB bonds and at short and medium maturities for higher-rated A bonds. Also, the influence of both macroeconomic and market activity is more pronounced in corporate bond credit spreads than in risk-free gilts. Second, the empirical analysis in this study confirms, in line with earlier studies, that the market prices of risk vary considerably over time. The results also indicate that the market price of real activity risk tends to be negative, whereas the market price of inflation risk is close to zero, on average, and the price of market risk is positive. Finally, this compares the out-of-sample forecasting performance of the proposed model with five other competitor models drawn from the literature for the U.K. risk-free bond yields. The forecasting exercise is conducted separately over three sub-periods containing the pre-crisis, crisis and post-crisis period that feature rich term structure dynamics with highly volatile risk-free yields. The proposed model outperforms the competitor no-arbitrage models and forecasts particularly well yields at short and long maturities for all forecast horizons.

Desde o trabalho inicial de Markowitz (1952), a administração de ativos financeiros tem sido tratada a partir da combinação do binômio risco/retorno. Dentre os modelos que visam explicar o comportamento dos preços das ações dois têm se destacado: o Capital Asset Pricing Model (CAPM) e a Arbitrage Pricing Theory (APT). Ambos os modelos têm como variável dependente o retorno dos ativos e foram exaustivamente aplicados às mais diversas realidades nas últimas quatro décadas. A outra variável presente no modelo de Markowitz - o risco, medido pela volatilidade dos retornos, tem sido objeto de maior interesse de pesquisadores em um período mais recente, motivado pelo aumento da volatilidade das variáveis financeiras a partir da década de 70, com o colapso de Bretton Woods e os choques do petróleo. Poucos trabalhos têm buscado definir quais fatores de natureza econômica ou financeira exercem influência sobre a volatilidade dos preços das ações. O objetivo geral desta pesquisa foi testar a aplicabilidade da APT a papéis de empresas brasileiras negociadas nos mercados americano e brasileiro tendo como variável dependente a volatilidade e efetuar uma análise comparativa da utilização do modelo para as séries de volatilidade e de retorno. Para o teste da APT, foram selecionadas 22 variáveis, sendo 13 relativas à economia brasileira e 9 à economia norte-americana. Para se verificar a aplicabilidade das variáveis aos tipos de papéis analisados, foram efetuados testes de cointegração para se comprovar a existência, ou não, de uma tendência estocástica nas séries. A metodologia utilizada para a APT foi o procedimento de dois estágios desenvolvido por Fama e Macbeth (1973): regressão em séries temporais para a obtenção dos coeficientes de sensibilidade dos fatores (betas) e regressão cross-sectional para a obtenção dos prêmios de risco. Verificou-se que a formulação teórica da APT é passível de ser utilizada para definir os determinantes dos movimentos na volatilidade dos ativos financeiros, com a ressalva de que os resultados tendem a ser inferiores aos obtidos quando se tem como variável dependente os retornos dos ativos. Analisando os resultados obtidos e a magnitude da diferença entre tais resultados, conclui-se que, apesar do resultado inferior, a aplicação da APT na definição dos determinantes dos movimentos na volatilidade dos ativos financeiros é uma possibilidade a ser amplamente considerada na pesquisa sobre o tema.

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

This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion. New results obtained by the author are presented in five articles. These are divided into two parts. The first part involves three articles on statistical inference and simulation of a family of processes related to fractional Brownian motion and Ornstein-Uhlenbeck process, the so-called fractional Ornstein-Uhlenbeck process of the second kind (fOU2). In two of the articles, we show how to simulate fOU2 by means of circulant embedding method and memoryless transformations. In the other one, we construct a least squares consistent estimator of the drift parameter and prove the central limit theorem using techniques from Stochastic Calculus for Gaussian processes and Malliavin Calculus. The second phase of my research consists of two articles about jump market models and arbitrage portfolio strategies for an insider trader. One of the articles describes two arbitrage free markets according to their risk neutral valuation formula and an arbitrage strategy by switching the markets. The key aspect is the difference in volatility between the markets. Statistical evidence of this situation is shown from a sequential data set. In the other one, we analyze the arbitrage strategies of an strong insider in a pure jump Markov chain financial market by means of a likelihood process. This is constructed in an enlarged filtration using Itô calculus and general theory of stochastic processes.
Föreliggande doktorsavhandling strävar efter att utöka sannolikhetsbaserade och statistiska modeller med stokastiska differentialekvationer. De beskrivna modellerna fångar väsentliga egenskaper i data som inte förklaras av klassiska diffusionsmodeller för brownsk rörelse.  Nya resultat, som författaren har härlett, presenteras i fem uppsatser. De är ordnade i två delar. Del 1 innehåller tre uppsatser om statistisk inferens och simulering av en familj av stokastiska processer som är relaterade till fraktionell brownsk rörelse och Ornstein-Uhlenbeckprocessen, så kallade andra ordningens fraktionella Ornstein-Uhlenbeckprocesser (fOU2). I två av uppsatserna visar vi hur vi kan simulera fOU2-processer med hjälp av cyklisk inbäddning och minneslös transformering. I den tredje uppsatsen konstruerar vi en minsta-kvadratestimator som ger konsistent skattning av driftparametern och bevisar centrala gränsvärdessatsen med tekniker från statistisk analys för gaussiska processer och malliavinsk analys.  Del 2 av min forskning består av två uppsatser om marknadsmodeller med plötsliga hopp och portföljstrategier med arbitrage för en insiderhandlare. En av uppsatserna beskriver två arbitragefria marknader med riskneutrala värderingsformeln och en arbitragestrategi som består i växla mellan marknaderna. Den väsentliga komponenten är skillnaden mellan marknadernas volatilitet. Statistisk evidens i den här situationen visas utifrån ett sekventiellt datamaterial. I den andra uppsatsen analyserar vi arbitragestrategier hos en insiderhandlare i en finansiell marknad som förändrar sig enligt en Markovkedja där alla förändringar i tillstånd består av plötsliga hopp. Det gör vi med en likelihoodprocess. Vi konstruerar detta med utökad filtrering med hjälp av Itôanalys och allmän teori för stokastiska processer.

At the time of the doctoral defense, the following papers were unpublished and had a status as follows: Paper 4: Manuscript. Paper 5: Manuscript.

Syftet med denna studie är att undersöka individers riskbeteende vid investeringar samt få en djupare förståelse för arbitrage och den osystematiska risken som är involverad när en individ utnyttjar arbitragemöjligheter. För att undersöka detta har en avgränsning gjorts till oddsmarknaden och riskfritt arbitrageutnyttjande i form av Surebets. Detta har undersökts med hjälp av kvalitativ- och kvantitativ metod i form av en triangulering. Genom en enkätundersökning och intervjuer kunde ett kausalt samband identifiera beteendesvängningar hos individer när det kommer till vinst och förlust. Ett Eta2-test genomfördes och påvisade ett samband mellan individers riskbenägenhet och kunskapen om Surebets. Studien fann flera osystematiska risker för användarna kopplat till Surebets varav den största är spelbolagen och dess användaravtal. Avslutningsvis kan nollhypotesen förkastas med hjälp av Eta2-testet samt ett kausalt samband, vilket bevisar ett högre risktagande bland individer som utnyttjar arbitrage på oddsmarknaden.
The purpose of this study is to investigate individuals' risk behavior during investments and to gain a deeper understanding of arbitrage and the unsystematic risk involved when an individual uses arbitrage opportunities. To investigate this a delimitation has been made to the odds market and the risk-free utilization of arbitrage in the form of Surebets. The method used to investigate this has been a qualitative and quantitative method in the form of a triangulation. Through a survey and interviews, a causal relationship could identify behavioral fluctuations in individuals when it comes to profit and loss cases. An Eta2 test was conducted and demonstrated a connection between individuals' risk behaviour and the knowledge of Surebets. The study found several unsystematic risks for users linked to Surebets, where the largest are the gaming companies and its user agreement. Finally, the null hypothesis can be rejected by means of the Eta2 test and a causal relationship, which proves a higher risk taking among individuals exploiting arbitrage opportunities on the odds market.

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, the Fundamental Theorem of Asset Pricing establishes a coherent and unique asset pricing framework in non-arbitraged markets, grounded on martingales processes. Accordingly, the analysis of the statistical distributions of financial assets can assist in understanding how participants behave in the markets, and may or may not engender conditions to arbitrage. On this regard, the dissertation proposes that the study of non-arbitrage hypothesis has a scientific counterparty, theoretically and empirically. Using a variance gamma stochastic model for prices, the Bayesian test FBST is conducted to verify the presence of arbitrage potentially incorporated on these densities parameters. Specifically, the Bovespa Index distribution is investigated, with risk neutral parameters estimated based on options traded in the Equities Segment and the Derivatives Segment at the BM&FBovespa Exchange. Results seem to indicate significant statistical differences at some periods of time. To what extent this evidence is actually the expression of a perennial arbitrage between the markets still is an open question.

This dissertation focuses on the estimation of the generative multifactor model of returns on equities, under a statistical approach of the Arbitrage Pricing Theory (APT), in the context of the Mexican Stock Exchange. Therefore, this research takes as frameworks two main issues: (i) the multifactor asset pricing models, specially the statistical risk factors approach, and (ii) the dimension reduction or feature extraction techniques: Principal Component Analysis, Factor Analysis, Independent Component Analysis and Non-linear Principal Component Analysis, utilized to extract the underlying systematic risk factors. The models estimated are tested using two methodologies: (i) capability of reproduction of the observed returns using the estimated generative multifactor model, and (ii) results of the econometric contrast of the APT using the extracted systematic risk factors. Finally, a comparative study among techniques is carried on based on their theoretical properties and the empirical results. According to the above stated and as far as we concerned, this dissertation contributes to financial research by providing empirical evidence of the estimation of the generative multifactor model of returns on equities, extracting statistical underlying risk factors via classic and alternative dimension reduction or feature extraction techniques in the field of finance, in order to test the APT as an asset pricing model, in the context of an emerging financial market such as the Mexican Stock Exchange. In addition, this work presents an unprecedented theoretical and empirical comparative study among Principal Component Analysis, Factor Analysis, Independent Component Analysis and Neural Networks Principal Component Analysis, as techniques to extract systematic risk factors from a stock exchange, analyzing the level of sensitivity of the results in function of the technique carried on. In addition, this dissertation represents a mainly empirical exhaustive study where objective evidence about the Mexican stock market is provided by way of the application of four different techniques for extraction of systematic risk factors, to four datasets, in a test window that ranged from two to nine factors.

This thesis proposes a theory of inefficient markets that uses limited rational choice as a central trait and I call it the theory of Homo comperiens. The theory limits the alternatives and states that the subjects are aware of and only allow them to have rational preference relations on the limited action set and state set, i.e. limited rationality is introduced. With limited rational choice, I drive a wedge between the market price and the intrinsic value and thus create an arbitrage market. In the theory, the subjects are allowed to gain knowledge about something that they previously were unaware of. As the discovery proceeds, the arbitrage opportunities disappear, and the market prices regress towards the intrinsic values. The theory is applied to firms and market-pricing models for a Homo comperiens environment is a result. The application of the theory to firms also leads to testable propositions that I test on a uniquely comprehensive Swedish accounting database that cover the years 1978—1994. Hypotheses are tested which argues that risk-adjusted residual rates-of-returns exist. The null hypotheses argue that risk-adjusted residual rates-of-returns do not exist (since they assume a no-arbitrage market). The null hypotheses are rejected in favor of their alternatives at a 0.0 percent significance level. The tests use approximately 22,200 observations. I also test hypotheses which argue that risk-adjusted residual rates-of-returns regress to zero with time. The null hypotheses are randomly walking risk-adjusted residual rates-of-returns, which are rejected in favor of the alternative hypotheses. The hypotheses are tested using panel regression models and goodness-of-fit tests. I reject the null hypotheses of random walk at a 0.0 percent significance level. Finally, the results are validated using out-of-sample predictions where my models compete with random-walk predictions. It finds that the absolute prediction errors from my models are between 12 to 24 percent less than the errors from the random walk model. These results are significant at a 0.0 percent significance level.

Nesta introdução, são desenvolvidas considerações preliminares a respeito deste trabalho. A seguir, define-se o tema do estudo e apresentam-se as justificativas, os objetivos e, finalmente, a forma pela qual o trabalho está organizado. O mercado de capitais têm merecido nos últimos anos uma atenção especial do seu público alvo. As crises nos mercados asiáticos, soviético e argentino, a recessão americana dentre outros fatores têm proporcionado sucessivas quedas das Bolsas de Valores em todo o mundo. Em alguns casos, governos foram obrigados a adotar medidas econômicas, monetárias, cambiais e fiscais protecionistas de urgência para afastar suas economias de efeitos globais desastrosos. O ambiente de instabilidade das bolsas de valores é histórico. Podemos lembrar a quebra da Bolsa de Nova York em 1929, que implicou em sérias repercussões na vida das pessoas. Podemos lembrar também as instabilidades proporcionadas pelas Bolsas americanas em 1987, pelas Bolsas latino-americanas em 1994, pelas Bolsas brasileiras em 1998, pela Nasdaq americana em 1999 e tantos outros exemplos. Devido à importância crescente dos mercados financeiros e de capitais e, principalmente, em função do aumento significativo no volume de negócios, que, segundo Santos (1997), tem crescido mais rapidamente que a renda nos países desenvolvidos, pesquisadores de todas as correntes têm dedicado atenção crescente ao mercado de capitais, quer ele esteja em crise ou não.

Cette dissertation traite des trois thématiques suivantes : incertitude, fonctions d’utilité et non-arbitrage. Dans le premier chapitre, nous supposons qu’il n’y a pas d’incertitude sur les croyances et établissons l’existence d’un portefeuille optimal pour un investisseur qui opère dans un marché financier multi-période à temps discret et maximise son espérance terminale d’utilité. Nous considérons des fonctions d’utilité aléatoires non concaves, non continues définies sur l’axe réel positif. La preuve repose sur de la programmation dynamique et des outils de théorie de la mesure.Dans les trois chapitres suivant nous introduisons le concept d’incertitude knightienne et adoptons le modèle de marché financier multi-période à temps discret avec croyances multiples non dominées introduit par B. Bouchard and M. Nutz (Arbitrage and duality in nondominated discrete-time models)Dans le second chapitre, nous étudions la notion de non-arbitrage quasi-sûre introduite par B. Bouchard and M. Nutz (Arbitrage and duality in nondominated discrete-time models) et en proposons deux formulations équivalentes: une version quantitative et une version géométrique. Nous proposons aussi une condition forte de non-arbitrage afin de simplifier des difficultés techniques.Nous utilisons ces résultats dans le troisième chapitre pour résoudre le problème de la maximisation d’espérance d’utilité sous la plus défavorable des croyances pour des fonctions d’utilité concaves, définies sur l’axe positif réel non-bornées. La preuve utilise à nouveau de la programmation dynamique et des techniques de sélection mesurable.Finalement, dans le dernier chapitre, nous développons un modèle de d’évaluation par indifférence d’utilité et démontrons que sous de bonnes conditions, le prix d’indifférence d’un actif contingent converge vers son prix de sur réplication
This dissertation evolves around the following three general thematic: uncertainty, utility and no-arbitrage.In the first chapter we establish the existence of an optimal portfolio for investor trading in a multi-period and discrete-time financial market without uncertainty and maximising its terminal wealth expected utility. We consider general non-concave and non-smooth random utility function defined on the half real-line. The proof is based on dynamic programming and measure theory tools.In the next three chapters, we introduce the concept of Knightian uncertainty and adopt the multi-prior non dominated and discrete time framework introduced in [25]..In this setting, in the second chapter we study the notion of quasi-sure no-arbitrage introduced in [25] and propose two equivalent definitions: a quantitative and geometric characterisation. We also introduce a stronger no-arbitrage condition that simplifies some of the measurability difficulties.In the third chapter, we build on the results obtained in the previous chapter to study the maximisation of multiple-priors non-dominated worst-case expected utility for investors trading in a multi-period and discrete-time financial for general concave utility functions defined on the half-real line unbounded from above. The proof uses again a dynamic programming framework together with measurable selection.Finally the last chapter formulates a utility indifference pricing model for investor trading in a multi-period and discrete-time financial market. We prove that under suitable condition the multiples-priors utility indifference prices of a contingent claim converge to its multiple-priors superreplication price

This thesis presents an empirical investigation into the Arbitrage Pricing Theory (APT). At the onset of the thesis it is recognised that tests of the APT are conditional on a number of preconditions and assumptions. The first line of investigation examines the effect of the assumed nature of the form of the return generating process of stocks. It is found that stocks follow an approximate factor structure and tests of the APT are sensitive to the specified form of the return generating process. We provide an efficient estimation methodology for the case when stocks follow an approximate factor structure. The second issue we raise is that of the appropriate factors, the role of the market portfolio and the performance of the APT against the Capital Asset Pricing Model (CAPM). The conclusions that we draw are that the APT is robust to a number of specified alternatives and furthermore, the APT outperforms the CAPM in comparative tests. In addition, within the APT specification there is a role for the market portfolio. Through a comparison of the results in chapters 2 and 3 it is evident that the APT is not robust to the specification of unexpected components. We evaluate the validity of extant techniques in this respect and find that they are unlikely to be representative of agents actual unexpected components. Consequently we put forth an alternative methodology based upon estimating expectations from a learning scheme. This technique is valid in respect to our prior assumptions. Having addressed these preconditions and assumptions that arise in tests of the APT a thorough investigation into the empirical content of the APT is then undertaken. Concentrating on the issues that the return generating process must be unique and that the estimated risk premia should be stable overtime the results indicate that the APT does have empirical content. Finally, armed with the empirically valid APT we proceed to analyse the issue of seasonalities in stock returns. The results confirm previous findings that there are seasonal patterns in the UK stock market, however, unlike previous findings we show that these seasonal patterns are part of the risk return structure and can be explained by the yearly business cycle. Furthermore, the APT retains empirical content when these seasonal patterns are removed from the data. The overall finding of this thesis is that the APT does have empirical content and provides a good description of the return generating process of UK stocks.

La relation entre les traites internationaux d’investissement et les contrats sous-jacents reste un sujet très contentieux dans le domaine du droit international de l’investissement. Cette thèse explore l’interaction entre le contrat et le traité en utilisant la renégociation des contrats règlementaires dans le secteur de l’infrastructure énergétique comme un exemple d’ « expérience naturelle », en se focalisant en particulier sur les litiges arbitraux découlant de la crise économique en Argentine. A cette fin, un cadre analytique original, s’inspirant de l’économie des coûts de transaction et la théorie du contrat relationnel. Le résultat de la combinaison originelle de ces deux cadres analytiques est la construction d’une méthodologie interprétative proposant une approche d’intégration entre les deux instruments – le contrat et le traité – d’une manière apportant plus d’équilibre entre les intérêts publics et privés souvent opposés. La thèse est fondée en particulier sur trois arguments : le premier est la nature des standards dynamiques des traités comme contrats relationnels exigeant la coopération des parties à long terme. Le deuxième est le statut de ces standards vagues comme règles par défaut, complémentés par les provisions des contrats sous-jacents, qui sont aussi relationnels et fonctionnent comme « gap fillers ». Le dernier argument, normatif, est que la relation entre ces règles (par défaut) des traites et les provisions contractuels doit être déterminée par l’économie des coûts de transaction, et en particulier le but d’économiser les coûts de transaction découlant de la rationalité limitée et l’opportunisme durant l’interprétation des standards relationnels des traités
The relationship between international investment treaties and the underlying contracts remains a highly disputed matter in international investment law. This thesis explored the contract-treaty interaction by using the renegotiation of regulatory contracts in the sector of energy infrastructure as a natural experiment, with a particular emphasis on the arbitral disputes that arose from the Argentine crisis. It deployed to this end an original analytical framework drawing from transaction cost economics and relational contract theory. The result of the novel combination of these two analytical frameworks is the construction of an interpretative methodology that takes an integrated approach to the two instruments – the contract and the overarching treaty – in a way that achieves a more sustainable balance between the competing public and private interests. In particular, the thesis rests on three arguments: the first is the relational-contract nature of dynamic treaty standards, which require the long-term cooperation of the parties. The second is the status of these vague standards as default rules complemented by the provisions of the underlying contracts, which are also relational, and act as gap-fillers. The last, normative argument is that the relationship between these (default) treaty rules and the (gap-filling) contractual provisions should be determined by transaction cost economics, and specifically the goal of economizing on the transaction costs of bounded rationality and opportunism when and interpreting relational treaty standards

This thesis analyzes the performance and process of constructing portfolios of cryptocurrency pairs based on cointegrated relationships indicated by the Augmented Dickey-Fuller test, Johansen’s test and Phillips Peron’s test. Pairs are tested for cointegration over a 3-month and a 6-month window and then traded over a trading window of the same length. The cryptocurrencies included in the study are 14 cryptocurrencies with the highest market capitalization on April 24th 2019. One trading strategy has been applied on every portfolio following the 3-month and the 6-month methodology with thresholds at 1.75 and stop-losses at 4 standard deviations. The performance of each portfolio is compared with their corresponding buy and hold benchmark. All portfolios outperformed their buy and hold benchmark, with and without transaction costs set to 2%. Following the 3-month methodology was superior to the 6- month method and the portfolios formed through Phillips Peron’s test had the highest return for both window methods.

Denna uppsats är skriven inom området finansiering och behandlar fenomenet uppköp och företagsförvärv inom läkemedelsbranschen. I uppsatsen undersöker man läkemedelsbranschen och några nyckelaffärer utförda under de senaste fem åren. Syftet är att se om hypotesen om att det inte sker någon onormal överavkastning efter ett företagsförvärv eller sammanslagning till det köpande företaget gäller inom industrin.

Modellen som används är ”the Arbitrage Pricing Model”, innehållande variablerna S&P 500, ^DRG, USA’s inflation och volymen av omsatta aktier på New York-börsen. Denna används för att beräkna en förväntad avkastning på aktien 48 månader efter affären. Ytterligare så används AMEX läkemedelsindex (^DRG) och Standard & Poor’s 500 (S&P 500) som måttstock för att jämföra utvecklingen av aktien under 48 månader efter affären.

Hypotesen håller i tre av sex fall när indexen ^DRG och S&P 500 används som måttstock och i samtliga fall när den beräknade avkastningen används som måttstock.

De beräknade estimaten visade sig vara aningen för optimistiska givet tidpunkten för affären. Marknaden hade vuxit mycket starkt under en lång tid och var på toppen just innan den föll kraftigt i början av år 2000. Inget av företagen nådde upp till de beräknade värdena. Inte heller lyckades de återhämta sig från det kraftiga fallet I marknaden till deras ursprungliga aktievärden.

This thesis is written within the field of finance and covers the Merger & Acquisition (M&A) phenomenon within the pharmaceutical industry. The purpose with this thesis is to examine the pharmaceutical industry and, with some key acquisitions done over the last five years, see if our hypothesis about no abnormal returns after an M&A to the buying firm, holds within the industry.

The model used is the Arbitrage pricing model, incorporating the variables; S&P 500, ^DRG, US inflation and stock volume traded on NYSE, to calculate expected returns for a period of 48 months after the M&A’s. Furthermore we use AMEX pharmaceutical index (^DRG) and Standard & Poor 500 (S&P 500) as our base for measuring post-M&A performance 48 months after the M&A’s.

The hypothesis holds three out of six times when using the indices ^DRG and S&P 500 as a benchmark and all of the times when using the calculated expected returns as benchmark.

The calculated estimates turned out to be a bit too optimistic given the time of the M&A’s where the market had grown substantially over a long period and was at its peak just before it plummeted in the early 2000’s. Neither of the companies reached their estimated returns, nor did they manage to recover from the downfall to their initial stock value at the time of the merger.

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.

Masters of Commerce
If share price fluctuations follow a simple random walk then it implies that forecasting models based on historical growth rates have little ability to forecast acceptable share price movements over a certain period. The simple random walk description of share price dynamics is obtained when a large number of investors have equal probability to buy or sell based on their own opinion. This simple random walk description of the stock market is in essence the Efficient Market Hypothesis, EMT. EMT is the central concept around which financial modelling is based which includes the Black-Scholes model and other important theoretical underpinnings of capital market theory like mean-variance portfolio selection, arbitrage pricing theory (APT), security market line and capital asset pricing model (CAPM). These theories, which postulates that risk can be reduced to zero sets the foundation for option pricing and is a key component in financial software packages used for pricing and forecasting in the financial industry. The model used by Black and Scholes and other models mentioned above are Gaussian, i.e. they exhibit a random nature. This Gaussian property and the existence of expected returns and continuous time paths (also Gaussian properties) allow the use of stochastic calculus to solve complex Black- Scholes models. However, if the markets are not Gaussian then the idea that risk can be. (educed to zero can lead to a misleading and potentially disastrous sense of security on the financial markets. This study project test the null hypothesis - share prices on the JSE follow a random walk - by means of graphical techniques such as symmetry plots and Quantile-Quantile plots to analyse the test distributions. In both graphical techniques evidence for the rejection of normality was found. Evidenceleading to the rejection of the hypothesis was also found through nonparametric or distribution free methods at a 1% level of significance for Anderson-Darling and Runs test.

Les marchés financiers évoluent plus ou moins rapidement et fortement au gré des différents types d’information diffusés au cours des périodes d’étude. Dans ce contexte, nous cherchons à mesurer l’influence de tous types d’information sur des portefeuilles d’arbitrage systématique « euro neutres » multi-classes d’actifs, issus soit d’une diversification « naïve » (« 1/N ») soit d’une diversification optimale. Dans le cadre de nos recherches sur l’allocation tactique systématique, ces divers flux informationnels sont regroupés sous le terme de données hétérogènes (données de cotation et « autres informations de marché »). Les données de cotation sont des prix de clôture quotidiens d’actifs tandis que les « autres informations de marché » correspondent à trois types d’indicateurs : de conjoncture, de sentiments et de volatilité. Nous mesurons l’impact d’une combinaison de données hétérogènes sur nos portefeuilles d’arbitrage pour une période de tests incluant la crise des subprimes, à l’aide d’analyses de données (ACP) et de techniques probabilistes de quantification vectorielle. L’influence des données hétérogènes sur les portefeuilles d’arbitrage est mesurée notamment au travers d’une hausse de la rentabilité, d’un accroissement du ratio rentabilité/volatilité post crise des subprimes, d’une baisse de la volatilité ou d’une baisse des corrélations entre classes d’actifs. Ces découvertes empiriques permettent d’envisager la prise en compte des « autres informations de marché » comme élément de diversification du risque d’un portefeuille. Nous formalisons des éléments de réponse au défi posé par l’allocation tactique multi-classes d’actifs (Blitz et Vliet, 2008), en intégrant des variables « prédictives » à un processus systématique de market timing qui incorpore de manière quantitative des données hétérogènes
Financial markets evolve more or less rapidly and strongly to all kind of information depending on time period of study. In this context, we intend to measure a broad set of information influence on systematic multi-assets classes “euro neutral” arbitrage portfolios either for “naive” diversification and optimal diversification. Our research focuses on systematic tactical asset allocation and we group these information under the name of heterogeneous data (market data and “other market information”). Market data are “end of day” asset closing prices and “other market information” gather economic cycle, sentiment and volatility indicators. We assess the influence of a heterogeneous data combination on our arbitrage portfolios for a time period including the subprimes crisis period and thanks to data analysis and quantization algorithms. The impact of a heterogeneous data combination on our arbitrage portfolio is materialized by increasing return, increasing return/volatility ratio for the post subprimes crisis period, decreasing volatility and asset class correlations. These empirical findings suggest that “other market information” presence could be an element of arbitrage portfolio risk diversification. Furthermore, we investigate and bring empirical results to Blitz and Vliet (2008) issue on global tactical asset allocation (GTAA) by considering “predictive” variables with a systematic market timing process integrating heterogeneous data thanks to a quantitative data processing

1.3. Research Questions.

With this in mind, the research questions of this work are:

1. Is the Capital Asset Pricing Model still applicable despite the heavy impact of the financial crisis on the financial systems?

2. What happens to this model when the risk free rate approaches zero?

3. Is there a relationship between the riskiness of an asset and the risk-free interestrate when the latter is approaching the zero level?

Taking a sociological perspective on the market for corporate control this thesis calls into question financial capitalism with its preference for clear shareholder-value governance of the corporation. The institutional setting chosen to show this is Sweden, with its particularly shareholder friendly governance regime and its very active takeover market. To this is added three longitudinal case studies of cross-border hostile takeover processes during the sixth takeover wave in Europe. These reveal that the success of cross-border hostile bids has little to do with the theory of the market for corporate control, as a market where contests enable “good managers” to win over “bad managers”, with the overarching goal of enhancing wealth creation for society at large. Instead the most successful actors on a market for corporate control are those who best understand that market’s power dynamics – including the use of regulatory and moral arbitrage between different national frameworks and the leveraging of short-termism of institutional investors. The case studies are then analyzed in relation to the revised Swedish takeover rules of 2009. This shows that the revision did not address the problems detected, focusing instead on enhancing deal making and further limiting the board’s ability to work for long term value creation. As a whole this thesis calls for a development of a theory of a market for corporate control that in a more sustainable way will enable board of directors to focus on the corporation as value accretive entity. Sophie Nachemson-Ekwall has conducted her PhD work at the Stockholm School of Economics and is today a researcher
at the Center for Management and Organization at the Stockholm School of Economics Institute for Research (SIR). She has a background as a prize winning financial journalist for over 20 years and has co-authored three books about delicate issues in large Swedish corporations.

Diss. Stockholm : Handelshögskolan, 2012

Les marchés financiers occupent une place prépondérante dans l’économie. La future évolution des législations dans le domaine de la finance mondiale va rendre inévitable l’introduction de frictions pour éviter les mouvements spéculatifs des capitaux, toujours menaçants d’une crise. C’est pourquoi nous nous intéressons principalement, ici, aux modèles de marchés financiers avec coûts de transaction.Cette thèse se compose de trois chapitres. Le premier établit un critère d’absence d’opportunité d’arbitrage donnant l’existence de systèmes de prix consistants, i.e. martingales évoluant dans le cône dual positif exprimé en unités physiques, pour une famille de modèles de marchés financiers en temps continu avec petits coûts de transaction.Dans le deuxième chapitre, nous montrons la convergence des ensembles de sur-réplication d’une option européenne dans le cadre de la convergence topologique des ensembles. Dans des modèles multidimensionnels avec coûts de transaction décroissants a l’ordre n−1/2, nous donnons une description de l’ensemble limite pour des modèles particuliers et en déduisons des inclusions pour les modèles généraux (modèles de KABANOV). Le troisième chapitre est dédié a l’approximation du prix d’options européennes pour des modèles avec diffusion très générale (sans coûts de transaction). Nous étudions les propriétés des pay-offs pour pouvoir utiliser au mieux l’approximation du processus de prix du sous-jacent par un processus intuitif défini par récurrence grâce aux itérations de PICARD
Financial markets play a prevailing role in the economy. The future legislation development in the field of globalfinance will unavoidably lead to friction to prevent speculative capital movements, always threatening with crisis. Thatis why we are interested in the financial market models with transaction costs.This thesis consists of three chapters. The first one establishes a criterion of absence of arbitrage opportunitiesgiving the existence of consistent price systems, i.e. martingale evolving in the dual cone expressed in physical units.The criterion holds for a family of financial market models in continuous time with small transaction costs.In the second chapter, we show the convergence of super-replication sets for a European option in the contextof the topological convergence of sets. In multivariate models with transaction costs decreasing at rate n-1/2, we give adescription of the limit set for specific models. We deduce inclusions for general models (KABANOV's models).The third chapter is dedicated to the approximation of the European option price for models with very generaldiffusion (without transaction costs). We study properties of the pay-off to make best use of the approximation of theunderlying asset price, based on PICARD iterations

In this thesis, we will develop the fundamental properties of financial mathematics, with a focus on establishing meaningful connections between martingale theory, stochastic calculus, and measure-theoretic probability. We first consider a simple binomial model in discrete time, and assume the impossibility of earning a riskless profit, known as arbitrage. Under this no-arbitrage assumption alone, we stumble upon a strange new probability measure Q, according to which every risky asset is expected to grow as though it were a bond. As it turns out, this measure Q also gives the arbitrage-free pricing formula for every asset on our market. In considering a slightly more complicated model over a finite probability space, we see that Q once again makes its appearance. Finally, in the context of continuous time, we build a framework of stochastic calculus to model the trajectories of asset prices on a finite time interval. Under the absence of arbitrage once more, we see that Q makes its return as a Radon-Nikodym derivative of our initial probability measure. Finally, we use the properties of Q and a stochastic differential equation that models the dynamics of the assets of our market, known as the Ito formula, in order to derive the classic Black-Scholes Equation.

Thesis (MBA) -- University of New Brunswick, Faculty of Administration, 2003.
Typescript. Bibliography: leaves 83-84. Also available online through University of New Brunswick, UNB Electronic Theses & Dissertations.

In this thesis will the question of how to construct implied volatility surfaces in a robust and arbitrage free way be investigated. To be able to know if the solutions are arbitrage free was an initial investigation about arbitrage in volatility surfaces made. From this investigation where two comprehensive theorems found. These theorems came from Roper in \cite{Roper2010}. Based on these where then two applicable arbitrage tests created. These tests came to be very important tools in the remaining thesis.The most reasonable classes of models for modeling the implied volatility surface where then investigated. It was concluded that the classes that seemed to have the best potential where the stochastic volatility models and the parametric representation models. The choice between these two classes where concluded to be based on a trade-off between simplicity and quality of the result. If it where possible to make the parametric representation models improve its result the best applicable choice would be that class. For the remaining thesis was it therefore decided to investigate this class. The parametric representation model that was chosen to be investigated where the SVI parametrization family since it seemed to have the most potential outside of its already strong foundation.The SVI parametrization family is diveded into 3 parametrizations, the raw SVI parametrization, the SSVI parametrization and the eSSVI parametrization. It was concluded that the raw SVI parametrization even though it gives very good market fits, was not robust enough to be chosen. This ment that the raw SVI parametrization would in most cases generate arbitrage in its surfaces. The SSVI model was concluded to be a very strong model compared to the raw SVI, since it was able to generate completely arbitrage free solutions with good enough results. The eSSVI is an extended parametrization of the SSVI with purpose to improve its short maturity results. It was concluded to give small improvements but with the trade of making the optimization procedure harder. It was therefore concluded that the SSVI parametrization might be the better application.To try to improve the results of the SSVI parametrization was a complementary procedure developed which got named the calibrated SSVI method. This method compared to the eSSVI parametrization would not change the parametrization but instead focusing on calibrating the initial fit that the SSVI generated. This method would heavily improve the initial fit of the SSVI surface but was less robust since it generated harder cases for the interpolation and extrapolation.
I det här examensarbetet undersöks frågan om hur man bör modellera implied volatilitetsytor på ett robust och arbitragefritt sätt. För att kunna veta om lösningarna är arbigtragefria börjades arbetet med en undersökning inom arbitrageområdet. De mest heltäckande resultatet som hittades var två theorem av Roper i \cite{Roper2010}. Baserat på dessa theorem kunde två applicerbara arbitragetester skapas som sedan kom att bli en av hörnstenarna i detta arbete. Genom att undersöka de modellklasser som verkade vara de bästa inom området valdes den parametriseringsbeskrivande modellklassen.  I denna klass valdes sedan SVI parametriseringsfamiljen för vidare undersökning eftersom det verkade vara den familj av modeller som hade störst potential att uppnå jämnvikt mellan enkel applikation samt bra resultat.  För den klassiska SVI modellen i SVI familjen drogs slutsatsen att modellen inte var tillräcklig för att kunna rekommenderas. Detta berodde på att SVI modellen i princip alltid genererade lösningar med arbitrage i. SVI modellen genererar dock väldigt bra lösningar mot marknadsdatan enskilt och kan därför vara ett bra alternativ om man bara ska modellera ett implied volatilitetssmil. SSVI modellen ansågs däremot vara ett väldigt bra alternativ. SSVI modellen genererar komplett aribragefria lösningar men har samtidigt rimligt bra marknadspassning.  För att försöka förbättra resultaten från SSVI modellen, var en kompleterande metod kallad den kalibrerade SSVI metoden skapad. Denna metod kom att förbättra marknadspassningen som SSVI modellen genererade men som resultat kom robustheten att sjunka, då interpoleringen och extrapoleringen blev svårare att genomföra arbitragefritt.

In this thesis, anisotropic Heisenberg magnets with arbitrary spin are investigated within the second-order Green-function theory. Three models are considered. First, the second-order Green-fuction theory for one-dimensional and two-dimensional Heisenberg ferromagnets with arbitrary spin S in a magnetic field is developed. For the determination of the introduced vertex parameters sum rules, higher-derivative sum rules, and regularity conditions are derived, and the equality of the isothermal and the longitudinal uniform static Kubo susceptibilities is required. Thermodynamic quantities, such as the specific heat, magnetic susceptibility, transverse and longitudinal correlation lengths are calculated. Empirical formulas describing the dependence of the position and height of the susceptibility maximum on the magnetic field are given. An anomal behavior of the longitudinal correlation length is observed. The appearance of two maxima in the temperature dependence of the specific heat is discussed. Further, as an example of a system with an anisotropy in the spin space, the S=1 ferromagnetic chain with easy-axis single-ion anisotropy is studied. Justified by the up-down symmetry of the model with respect to $S_i^z -> -S_i^z$, $\\langle S_i^z \\rangle=0$ is set. Two different ways of the determination of the introduced vertex parameters are presented. The transverse nearest-neighbor correlation function, spin-wave spectrum and longitudinal correlation length are analyzed. The effects of the single-ion anisotropy on the transverse and longitudinal uniform static susceptibilities as well as on the appearance of two maxima in the temperature dependence of the specific heat are examined. Finally, as examples of spatial anisotropic spin systems,layered Heisenberg ferromagnets and antiferromagnets with arbitrary spin are studied within the rotation-invariant Green-function theory. The long-range order is described by the condensation term, which is determined from the requirement that in the ordered state the static susceptibility has to diverge at the ordering wave vector. For determination of the introduced vertex parameters, the sum rule and the isotropy condition are used and also assumptions regarding the temperature dependence of some parameters are made. The main focus is put on the calculation of the specific heat, the Curie temperature, and the Néel temperature in dependence on the interlayer coupling and the spin-quantum number. Empirical formulas describing the dependence of the transition temperatures on the ratio of interlayer and intralayer couplings are given. For all three models, the results of the Green-function theory are compared to available results of exact approaches (Quantum Monte Carlo, exact diagonalization, Bethe-ansatz method) and to available experimental data.

In this paper, we generalize the notions of polymorphisms and invariant relations to arbitrary categories. This leads us to a Galois connection that coincides with the classical case from universal algebra if the underlying category is the category of sets, but remains applicable no matter how the category is changed. In analogy to the situation in universal algebra, we characterize the Galois closed classes by local closures of clones of operations and local closures of what we will introduce as clones of (generalized) relations. Since the approach is built on purely category-theoretic properties, we will also discuss the dualization of our notions.

In recent years advances in technology have allowed the transition of composite structures from secondary to primary structural components. Consequently, a lot of applications demand development of thicker composite structures to sustain heavier loads. Typical sandwich panels consist of two thin metallic or composite face sheets separated by a honeycomb or foam core. This configuration gives the sandwich panel high stiffness and strength and enables excellent energy absorption capabilities with little resultant weight penalty. This makes sandwich structures a preferred design for a lot of applications including aerospace, naval, wind turbines and civil industries. Most aerospace structures can be analyzed using shell and plate models and many such structures are modeled as composite sandwich plates and shells. Accurate theoretical formulations that minimize the CPU time without penalties on the quality of the results are thus of fundamental importance. The classical plate theory (CPT) and the first order shear deformation theory (FSDT) are the simplest equivalent single-layer models, and they adequately describe the kinematic behavior of most laminates where the difference between the stiffnesses of the respective phases is not huge. However, in the case of sandwich structures where the core is a much more compliant and softer material as compared to the face sheets the results from CPT and FSDT becomes highly inaccurate. Higher order theories in such cases can represent the kinematics better, may not require shear correction factors, and can yield much more accurate results. An advanced Extended Higher-order Sandwich Panel Theory (EHSAPT) which is a two-dimensional extension of the EHSAPT beam model that Phan presented is developed. Phan had extended the HSAPT theory for beams that allows for the transverse shear distribution in the core to acquire the proper distribution as the core stiffness increases as a result of non-negligible in-plane stresses. The HSAPT model is incapable of capturing the in-plane stresses and assumes negligible in-plane rigidity. The current research extends that concept and applies it to two-dimensional plate structures with variable aspect ratios. The theory assumes a transverse displacement in the core that varies as a second order equation in z and the in-plane displacements that are of third order in z, the transverse coordinate. This approach allows for five generalized coordinates in the core (the in-plane and transverse displacements and two rotations about the x and y-axes respectively). The major assumptions of the theory are as follows: 1) The face sheets satisfy the Euler-Bernoulli assumptions, and their thicknesses are small compared to the overall thickness of the sandwich section; they undergo small strains with moderate rotations. 2) The core is compressible in the transverse and axial directions; it has in-plane, transverse and shear rigidities. 3) The bonding between the face sheets and the core is assumed to be perfect. The kinematic model is developed by assuming a displacement field for the soft core and then enforcing continuity of the displacement field across the interface between the core and facesheets. The constitutive relations are then defined, and variational and energy techniques are employed to develop the governing equations and associated boundary conditions. A static loading case for a simply supported sandwich plate is first considered, and the results are compared to existing solutions from Elasticity theory, Classical Plate Theory (CPT) and First-Order Shear Deformation Plate Theory (FSDT). Subsequently, the governing equations for a dynamic analysis are developed for a laminated sandwich plate. A free vibration problem is analyzed for a simply supported laminated sandwich plate, and the results for the fundamental natural frequency are compared to benchmark elasticity solutions provided by Noor. After validation of the new Extended Higher Order Sandwich Panel Theory (EHSAPT), a parametric study is carried out to analyze the effect of variation of various geometric and material properties on the fundamental natural frequency of the structure. After the necessary verification and validation of the theory by comparing static and free vibration results to elasticity solutions, a nonlinear static analysis for square and rectangular plates is carried out under various sets of boundary conditions. The analysis was carried out using variational techniques, and the Ritz method was used to find an approximate solution. The kinematics were developed for a sandwich plate undergoing small strain and moderate rotations and nonlinear strain displacement relations were evaluated. Approximate and assumed solutions satisfying the geometric boundary conditions were developed and substituted in the total potential energy relations. After carrying out the spatial integrations, the total potential energy was then minimized with respect to the unknown coefficients in the assumed solution resulting in nonlinear simultaneous algebraic equations for the unknown coefficients. The simultaneous nonlinear equations were then solved using the Newton-Raphson method. A convergence study was carried out to study the effect of varying the number of terms in the approximate solution on the overall result and rapid convergence was observed. The rapid convergence can be attributed to the fact that the assumed approximate solution not only satisfies the geometric boundary conditions of the problem but also the natural boundary conditions. During calculations four cases of boundary conditions were considered 1) Simply Supported with moveable edges. 2) Simply Supported with fixed edges. 3) Clamped with moveable edges. 4) Clamped with fixed edges. For movable boundary conditions, in-plane displacements along the normal direction to the supported edges are allowed whereas the out-of-plane displacement is fixed. For the immovable boundary condition cases, the plate is prevented from both in-plane and out-of-plane displacements along the edges. For the simply supported cases rotations about the tangential direction are allowed, and for the clamped cases no rotations are allowed.In recent years advances in technology have allowed the transition of composite structures from secondary to primary structural components. Consequently, a lot of applications demand development of thicker composite structures to sustain heavier loads. Typical sandwich panels consist of two thin metallic or composite face sheets separated by a honeycomb or foam core. This configuration gives the sandwich panel high stiffness and strength and enables excellent energy absorption capabilities with little resultant weight penalty. This makes sandwich structures a preferred design for a lot of applications including aerospace, naval, wind turbines and civil industries. Most aerospace structures can be analyzed using shell and plate models and many such structures are modeled as composite sandwich plates and shells. Accurate theoretical formulations that minimize the CPU time without penalties on the quality of the results are thus of fundamental importance. The classical plate theory (CPT) and the first order shear deformation theory (FSDT) are the simplest equivalent single-layer models, and they adequately describe the kinematic behavior of most laminates where the difference between the stiffnesses of the respective phases is not huge. However, in the case of sandwich structures where the core is a much more compliant and softer material as compared to the face sheets the results from CPT and FSDT becomes highly inaccurate. Higher order theories in such cases can represent the kinematics better, may not require shear correction factors, and can yield much more accurate results. An advanced Extended Higher-order Sandwich Panel Theory (EHSAPT) which is a two-dimensional extension of the EHSAPT beam model that Phan presented is developed. Phan had extended the HSAPT theory for beams that allows for the transverse shear distribution in the core to acquire the proper distribution as the core stiffness increases as a result of non-negligible in-plane stresses. The HSAPT model is incapable of capturing the in-plane stresses and assumes negligible in-plane rigidity. The current research extends that concept and applies it to two-dimensional plate structures with variable aspect ratios. The theory assumes a transverse displacement in the core that varies as a second order equation in z and the in-plane displacements that are of third order in z, the transverse coordinate. This approach allows for five generalized coordinates in the core (the in-plane and transverse displacements and two rotations about the x and y-axes respectively). The major assumptions of the theory are as follows: 1) The face sheets satisfy the Euler-Bernoulli assumptions, and their thicknesses are small compared to the overall thickness of the sandwich section; they undergo small strains with moderate rotations. 2) The core is compressible in the transverse and axial directions; it has in-plane, transverse and shear rigidities. 3) The bonding between the face sheets and the core is assumed to be perfect. The kinematic model is developed by assuming a displacement field for the soft core and then enforcing continuity of the displacement field across the interface between the core and facesheets. The constitutive relations are then defined, and variational and energy techniques are employed to develop the governing equations and associated boundary conditions. A static loading case for a simply supported sandwich plate is first considered, and the results are compared to existing solutions from Elasticity theory, Classical Plate Theory (CPT) and First-Order Shear Deformation Plate Theory (FSDT). Subsequently, the governing equations for a dynamic analysis are developed for a laminated sandwich plate. A free vibration problem is analyzed for a simply supported laminated sandwich plate, and the results for the fundamental natural frequency are compared to benchmark elasticity solutions provided by Noor. After validation of the new Extended Higher Order Sandwich Panel Theory (EHSAPT), a parametric study is carried out to analyze the effect of variation of various geometric and material properties on the fundamental natural frequency of the structure. After the necessary verification and validation of the theory by comparing static and free vibration results to elasticity solutions, a nonlinear static analysis for square and rectangular plates is carried out under various sets of boundary conditions. The analysis was carried out using variational techniques, and the Ritz method was used to find an approximate solution. The kinematics were developed for a sandwich plate undergoing small strain and moderate rotations and nonlinear strain displacement relations were evaluated. Approximate and assumed solutions satisfying the geometric boundary conditions were developed and substituted in the total potential energy relations. After carrying out the spatial integrations, the total potential energy was then minimized with respect to the unknown coefficients in the assumed solution resulting in nonlinear simultaneous algebraic equations for the unknown coefficients. The simultaneous nonlinear equations were then solved using the Newton-Raphson method. A convergence study was carried out to study the effect of varying the number of terms in the approximate solution on the overall result and rapid convergence was observed. The rapid convergence can be attributed to the fact that the assumed approximate solution not only satisfies the geometric boundary conditions of the problem but also the natural boundary conditions. During calculations four cases of boundary conditions were considered 1) Simply Supported with moveable edges. 2) Simply Supported with fixed edges. 3) Clamped with moveable edges. 4) Clamped with fixed edges. For movable boundary conditions, in-plane displacements along the normal direction to the supported edges are allowed whereas the out-of-plane displacement is fixed. For the immovable boundary condition cases, the plate is prevented from both in-plane and out-of-plane displacements along the edges. For the simply supported cases rotations about the tangential direction are allowed, and for the clamped cases no rotations are allowed.

Data dissemination among wireless devices is an essential application in wireless networks. In contrast to its wired counterparts which have more stable network settings, wireless networks are subject to network dynamics, such as variable network topology, channel availability and capacity, which are due to user mobility, signal collision, random channel fading and scattering, etc. Network dynamics complicate the protocol design for optimal data disseminations. Although the topic has been intensively discussed for many years, existing solutions are still not completely satisfactory, especially for stochastic or arbitrary networks. In this thesis, we address optimal data dissemination in both stochastic and arbitrary wireless networks, using techniques of Lyapunov optimization, graph theory, network coding, multi-resolution coding and successive interference cancellation. We first discuss the maximization of time-averaged throughput utility over a long run for unicast and multirate multicast, respectively, in stochastic wireless networks without probing into the future. For multi-session unicast communications, a utility-maximizing cross-layer design, composed of joint end-to-end rate control, routing, and channel allocation, is proposed for cognitive radio networks with stochastic primary user occupations. Then, we study optimal multirate multicast to receivers with non-uniform receiving rates, also making dynamic cross-layer decisions, in a general wireless network with both a timevarying topology and random channel capacities, by utilizing random linear network coding and multi-resolution coding. In both solutions, we assume users are selfish and prefer only to relay data for others with strong social ties. Such social selfishness of users is a new constraint in network protocol design. Its impact on efficient data dissemination in wireless networks is largely unstudied, especially under stochastic settings. Lyapunov optimization is applied in our protocol design achieving close-to-optimal utilities. Next, we turn to latency-minimizing data aggregation in wireless sensor networks having arbitrary network topologies under the physical interference model. Different from our effort for stochastic networks where we target at time-averaged optimality over a long run, the objective here is to minimize the time-span to accomplish one round of aggregation scheduling for all sensors in an arbitrary topology. This problem is NP-hard, involving both aggregation tree construction and collision-free link scheduling. The current literature mostly considers the protocol interference model, which has been shown to be less practical than the physical interference model in characterizing the interference relations in the real world. A distributed solution under the physical interference model is challenging since cumulative interferences from all concurrently transmitting devices need to be well measured. In this thesis, we present a distributed aggregation protocol with an improved approximation ratio as compared with previous work. We then discuss the tradeoff between aggregation latency and energy consumption for arbitrary topologies when the successive interference cancellation technique is in force. Another distributed algorithm is introduced with asymptotic optimality in both aggregation latency and latency-energy tradeoff. Through theoretical analysis and empirical study, we rigorously examine the optimality of our protocols comparing with both the theoretical optima and existing solutions.
published_or_final_version
Computer Science
Doctoral
Doctor of Philosophy

Le droit des Affaires en Afrique se présente comme un labyrinthe en face duquel on manifeste des velléités à s’introduire. En effet, on y remarque une superposition de normes découlant d’une diversité d’instruments juridiques. Cette diversité n’est que la résultante d’une panoplie de zones économiques (UEMOA, CEMAC, CEDEAO notamment), une sorte de plusieurs unions européennes reposant sur deux systèmes juridiques fondamentaux qui coexistent : «Droit civil et Common Law». Il y a donc une difficulté, considérablement résorbée, mais loin d’être achevée liée à l’insécurité juridique voire judiciaire. Dans le but de constituer un point d’attraction aux investisseurs étrangers en particulier, et dans un souci de contribution à l’œuvre d’ «uniformisation» et non de simple harmonisation du droit des affaires qu’a amorcé le législateur de l’OHADA depuis le 17 octobre 1993 à Port-Louis en Ile-Maurice, en mettant en place le Traité constitutif de l’Organisation pour l’Harmonisation en Afrique du droit des Affaires, il nous paraît impératif et opportun d’élaborer et de consolider une théorie générale relative aux contrats. La théorie générale dans le cadre de nos travaux se limitera aux contrats d’affaires car nous partons du postulat que cette catégorie de contrats constitue le socle de toutes opérations économiques. La théorie générale des contrats d’affaires reviendrait alors à mettre en place un droit commun des contrats d’affaires dans l’espace OHADA. Ladite théorie générale des contrats d’affaires doit trouver son ancrage dans les dispositions préexistantes sans toutefois renoncer à l’introduction de nouvelles règles susceptibles de contribuer à son succès. Elles doivent cependant, afin d’être efficaces voire effectives, rester compatibles avec les différents Actes uniformes de l’OHADA, œuvre ingénieuse déjà accomplie par le législateur de l’OHADA et surtout ne pas rejeter l’héritage du système juridique français. Notre réflexion trouvera son socle dans une étude du droit positif de l’OHADA et français, et, du droit prospectif émanant des avant-projets du droit des contrats d’une part, mais également de divers autres instruments juridiques d’autre part, qui nous permettront d’établir les normes juridiques voire les mesures devant prévaloir dans les relations contractuelles d’affaires de l’OHADA, de faire ressortir l’homogénéité, l’unicité ou la diversité de ce système contractuel d’affaires, de faire remarquer la relation fidèle ou non qu’entretient l’OHADA avec le système juridique français
The business Law in Africa appears as a labyrinth in front of which we show vague desires to get. Actually we notice a superimposing of resulting standards from a diversity of legal instruments. The diversity is the resultant of an outfit of economic zones (UEMOA,CEMAC, ECOWAS, in particular), a kind of several European unions based on two fundamental legal systems which coexist : Civil Law and Common law. So, there is a difficulty considerably reduced, but far from being finished inherent to the even judicial legal insecurity. With the aim of establishing a point of attraction to the foreign investors especially, and in a concern of contribution to the work of «standardization» and not simple harmonization of the business law which the legislator of OHADA has begun since October 17th 1993, at Port-Louis in Ile-Maurice, by setting up the Treaty of the Organization of the harmonization of Busines law in Africa, it seems to us imperative and convenient to develop and strenghen a general theory relative to contracts. The general theory within the framework of our researches will limit itself to business contracts because we start from the postulate that this category of contracts constitutes the base of any economic operations. The general theory of business contracts would then mean setting up a common law of business contracts in OHADA area. The aformentionned general theory of business contracts has to fin its anchoring in the pre-existent measures without giving up the introduction of new rules susceptible to contribute to its success. However they have to remain compatible with the various uniform Acts of the OHADA, the ingenious work already achieved by the legislator ofthe OHADA and especially not reject the inheritance of the french legal system in order to be effective. Our reflection will find its base in the study of substantive law of the OHADA and French, and, the forward-looking law emanating from drafts from the contract law on one hand, but also from miscellaneous other legal instruments on the other hand, which will allow us to establish the legal rules even the measures that must prevail in the contractual business relationsof the OHADA, to highlight the homogeneity, the uniqueness or the diversity of this contractual business system, to point out the faithful relation or not that the OHADA with the french legal system maintains

Ce travail a tenté de dresser une cartographie de l'utilisation par le juge de l'OMC et l'arbitre de l'investissement de l'argument juridique fondé sur le droit non écrit. Le discours juridictionnel est considéré dans une perspective métathéorique et le droit non écrit a été étudié en tant que structure discursive au sens foucaldien du terme. En prenant comme point de départ la thèse de Martti Koskennicmi, il est soutenu que le discours juridictionnel fondé sur le droit non écrit est caractérisé par des oppositions binaires, propres au droit international libéral. Aussi ce discours oscille-t-il entre deux pôles : celui de l'apologie et celui de l'utopie. Ce balancement est résumé, dans ce travail, par l'emploi de deux concepts qui représentent les deux extrémités du spectre : la banalisation et la systématisation. Dans une logique de banalisation, le juge ancre son espace normatif dans le droit international général pour y ancrer sa légitimité. La banalisation de son espace normatif particulier reflète la volonté du juge de s'aligner sur les structures de pouvoir du droit international général. Il a été démontré, dans cette optique, que le juge de l'OMC, tout comme l'arbitre d'investissement, a banalisé à dessein la nature de son espace normatif ainsi que sa fonction juridictionnelle. Un deuxième registre linguistique employé par le juge est celui de la systématisation. Dans ce contexte, le juge utilise moins le droit non écrit pour ancrer son espace normatif dans le droit international général que pour construire une certaine unité interne au régime. Le langage de systématisation a pour effet ultime de renforcer la logique néolibérale sur laquelle le régime est bâti
The thesis has attempted to sketch a cartography of the way the WTO judge and the investment arbitrator use the judicial argument based on unwritten Law. The general approach consisted in studying the judicial discourse from a metatheoretical perspective: unwritten law is studied as a discursive structure in the Foucauldian sense of the term. Taking Martti Koskenniemi's thesis as a starting point, it is maintained that the judicial discourse based on unwritten law is grounded on binary oppositions. It oscillates between two poles : the pole of apology and the pole of utopia. This oscillation is explained using two concepts, constituting the extremities of the spectrum: banalization and systematization. In the perspective of banalization, the judge grounds its normative space in general international law. Using this approach, the WTO judge and the investment arbitrator have banalized both the nature of their normative spaces and their own judicial function. The judge also uses the linguistic register of systematization. ln this context, unwritten law is used to construct the internal unity of the regime. The effect of the language of systematization is to generate a movement between consolidation of the unity of the regime and strengthening the embedded neoliberal bias thereof

The paper explores theoretical shortcomings in the egalitarian theory by John Rawls and provides a complementary view on the problem of morally arbitrary contingencies. The conception of natural lottery, which Rawls presents to signify the starting range of morally arbitrary inequalities, falls short in philosophical grounding. According to critics, the notion of natural lottery appeals to the philosophical conception of moral luck which undermines ascription of moral responsibility. Since moral responsibility is a basic prerequisite for egalitarian justice, the appeal to morally arbitrary contingencies of the natural lottery may be self-defeating for the theory.

Criticizing Rawls’s approach to morally arbitrary contingencies Susan Hurley investigates philosophical groundings for judgment of moral responsibility. Philosophical inquiries into moral luck differentiate four categories of luck and expose the difficulties of ascription of moral responsibility for it. The conception of moral luck implies epistemological shortcomings in the rational judgment of moral responsibility. Hurley claims that ascription of moral responsibility requires another logical strategy.

The critical discussion by Norman Daniels refers to another egalitarian theory by Ronald Dworkin which suggests ascription of moral responsibility on a gradual scale. The theory divides the naturally contingent recourses into categories of brute luck and option luck. This strategy stratifies normative standards of responsibility by the criteria of individual choice and circumstances.

Considering the strategy of gradual ascription of responsibility, I suggest to apply a moral developmental perspective as an additional outlook on the moral responsibility in egalitarian theory. The theory of moral development by Lawrence Kohlberg provides an explanation of a gradual development of moral responsibility through a natural order of developmental stages. It stratifies the moral responsibility into a hierarchical model of measurement and systematizes the order of normative standards.

Title from PDF of title page (University of Missouri--Columbia, viewed on February 23, 2010). The entire thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file; a non-technical public abstract appears in the public.pdf file. Dissertation advisor: Dr. Sudarshan K. Loyalka and Dr. Robert V. Tompson. Vita. Includes bibliographical references.