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Exploiting of fundamental interest rates inefficiency

Ivanov, Sergei (2014): Exploiting of fundamental interest rates inefficiency.

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This article is a supplement to previously published paper [1]. It represents a theoretical example that demonstrates a strategy based on exploiting of found market inefficiency. It is fundamental. Thus, what markets without this inefficiency should be is an open question. It is connected to fluctuating interest rates. In original paper it was shown that in some cases they allow creation arbitrage strategies. However, it is possible to create such cases artificially.

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