FIAE

(redirected from Fixed-Income Arbitrage)
Also found in: Financial.
AcronymDefinition
FIAEFestival Internacional de Artes Escénicas (Spanish: International Performing Arts Festival)
FIAEFood Industry Association Executives (Flemington, NJ)
FIAEForum Indipendente Autori Emergenti (Italian: Emerging Authors Independent Forum)
FIAEFachinformatiker für Anwendungsentwicklung (German: degree in information technology)
FIAEFlorida Institute for Art Education
FIAEFoundation for International Arts & Education (Bethesda, Maryland)
FIAEFederazione Italiana Artigiani Edili (Italy)
FIAEFixed-Income Arbitrage
FIAEFimbristylis Aestivalis (summer fimbry)
FIAEFellow of the Irish Academy of Engineering (Dublin, Ireland)
FIAEFederal Institute for Adult Education (Austria)
FIAEFellow of the Institute for the Advancement of Engineering
References in periodicals archive ?
Duarte, Longstaff, and Yu (2005) studied fixed-income arbitrage strategies replicating the returns of commonly used strategies based on observable prices of fixed-income securities and their derivatives.
In addition, all styles, including fixed-income arbitrage (one of the major hedge fund strategies listed earlier), have correlations to changes in the default spread.
Let [y.sub.t-1] denote the earnings of fixed-income arbitrage hedge funds in the previous period; the convergence coefficient ([lambda]) is conjectured to depend on [y.sub.t-1] as
In Models 1 and 2, trading activity is inferred from trading income, which in Model 1 is derived from the change in the spread and the inferred trading position, while in Model 2 it is inferred from the earnings of fixed-income arbitrage hedge funds.
(8) In comparison to the S&P 500, which has a first-order autocorrelation coefficient of -1.0 percent, the autocorrelations of the hedge fund indexes are very high, with values of 55.8 percent for convertible arbitrage, 39.2 percent for fixed-income arbitrage, and 35.0 percent for event driven, all of which are significant at the 1 percent level according to the corresponding p-values.
Convertible arbitrage, dedicated short bias strategies, equity market neutral portfolios, fixed-income arbitrage, and managed futures trading fit into this group.