Cover Image

When David becomes Goliath: Repo dealer-driven bond mispricing

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Canon, Carlos, Gerba, Eddie, Barunik, Jozef
Format:	Preprint
Published:	2026
Subjects:	General Finance
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

The Dynamic Persistence of Economic Shocks
by: Barunik, Jozef, et al.
Published: (2023)

Predicting the volatility of major energy commodity prices: the dynamic persistence model
by: Barunik, Jozef, et al.
Published: (2024)

Common Idiosyncratic Quantile Factors and Asset Prices
by: Barunik, Jozef, et al.
Published: (2022)

Deep Learning, Predictability, and Optimal Portfolio Returns
by: Babiak, Mykola, et al.
Published: (2020)

Risks of heterogeneously persistent higher moments
by: Barunik, Jozef, et al.
Published: (2021)

Volatility Shocks and Currency Returns
by: Babiak, Mykola, et al.
Published: (2021)

Skewness Dispersion and Stock Market Returns
by: Babiak, Mykola, et al.
Published: (2026)

Tailoring Portfolio Choice via Quantile-Targeted Policies
by: Barunik, Jozef, et al.
Published: (2025)

Forecasting stock return distributions around the globe with quantile neural networks
by: Barunik, Jozef, et al.
Published: (2024)

Not feeling the buzz: Correction study of mispricing and inefficiency in online sportsbooks
by: Clegg, Lawrence, et al.
Published: (2023)

The repo market under Basel III: Effects of capital and liquidity regulations on market fragmentation
by: Eddie Gerba, et al.
Published: (2024)

Learning the Probability Distributions of Day-Ahead Electricity Prices
by: Barunik, Jozef, et al.
Published: (2023)

Modeling the yield curve of Burundian bond market by parametric models
by: Ntawiratsa, Rédempteur, et al.
Published: (2023)

The effect of investor-driven information diffusion on excess comovement: Evidence from retail and institutional investors in China and the United States
by: Ren, Fei, et al.
Published: (2026)

Wavelet Analysis of Cryptocurrencies -- Non-Linear Dynamics in High Frequency Domains
by: Kikuchi, Tatsuru
Published: (2024)

Budget Forecasting and Integrated Strategic Planning for Leaders
by: Salehi, Matt
Published: (2025)

Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Market, 1924-1943
by: Hirayama, Kenichi, et al.
Published: (2019)

On the Convergence of Credit Risk in Current Consumer Automobile Loans
by: Lautier, Jackson P., et al.
Published: (2022)

Does it take two to tango: Interaction between Credit Default Swaps and National Stock Indices
by: Sovbetov, Yhlas, et al.
Published: (2025)

HODL Strategy or Fantasy? 480 Million Crypto Market Simulations and the Macro-Sentiment Effect
by: Zhang, Weikang, et al.
Published: (2025)

Lower Bounds of Uncertainty of Observations of Macroeconomic Variables and Upper Limits on the Accuracy of Their Forecasts
by: Olkhov, Victor
Published: (2024)

Central Bank Digital Currency: The Advent of its IT Governance in the financial markets
by: Junior, Carlos Alberto Durigan, et al.
Published: (2024)

The Strategic Gap: How AI-Driven Timing and Complexity Shape Investor Trust in the Age of Digital Agents
by: Neupane, Krishna
Published: (2026)

The Cost of a Free Lunch: Evidence from U.S. Derivatives Markets
by: Shin, Useong
Published: (2026)

A Prior-Predictive Monte Carlo Framework for Pricing Complex Data Products in Data-Poor Markets
by: Siemiatkowski, Adam L., et al.
Published: (2026)

Three-Currency HJM for Brazilian Credit Markets
by: Coelho, Raphael
Published: (2026)

Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict
by: Yang, Yan-Hong, et al.
Published: (2023)

The Memorization Problem: Can We Trust LLMs' Economic Forecasts?
by: Lopez-Lira, Alejandro, et al.
Published: (2025)

Reference-dependent asset pricing with a stochastic consumption-dividend ratio
by: Aquino, Luca De Gennaro, et al.
Published: (2024)

From fair price to fair volatility: Towards an Efficiency-Consistent Definition of Financial Risk
by: Bianchi, Sergio, et al.
Published: (2025)

Systemic Risk in the European Insurance Sector
by: Bonaccolto, Giovanni, et al.
Published: (2025)

Finite-Difference Solution Ansatz approach in Least-Squares Monte Carlo
by: Huo, Jiawei
Published: (2023)

Do Activists Align with Larger Mutual Funds?
by: Jha, Manish
Published: (2024)

Liquidity Jump, Liquidity Diffusion, and Treatment on Wash Trading of Crypto Assets
by: Deng, Qi, et al.
Published: (2024)

Do t-Statistic Hurdles Need to be Raised?
by: Chen, Andrew Y.
Published: (2022)

Anti-correlation network among China A-shares
by: Liu, Peng
Published: (2024)

Market-Based "Actual" Returns of Investors
by: Olkhov, Victor
Published: (2023)

Market-Based Price Autocorrelation
by: Olkhov, Victor
Published: (2022)

FinAI-BERT: A Transformer-Based Model for Sentence-Level Detection of AI Disclosures in Financial Reports
by: Zafar, Muhammad Bilal
Published: (2025)

Markowitz Variance May Vastly Undervalue or Overestimate Portfolio Variance and Risks
by: Olkhov, Victor
Published: (2025)