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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Stock price model random walk Gaussian processes weak con-vergence
2012/9/14
This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with va...
A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets
No-Arbitrage Model Financial Markets Brownian Sheets
2012/9/14
We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at th...
Hedging of game options in discrete markets with transaction costs
game options discrete markets transaction costs
2012/9/14
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete time markets with transaction costs both from seller’s (upper arbitrage free price) a...
Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets
market timing empirical alpha process unobserved portfolio strategies martingale system behavioural finance high frequency trading Brownian bridge Jensen’salpha portable alpha
2012/9/14
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high fre-quency trading, by embedding a robust trading algorithm that describe portfolio manager ...
Swing options on the gas market are american style option where daily quantities exercices are constrained and global quantities exerciced each year constrained too.The option holder has to decide eac...
Directed Random Markets: Connectivity determines Money
Econophysics gas-like models networks money distribution.
2012/9/14
Boltzmann-Gibbs distribution arises as the statistical equilibrium probability distribu-tion of money among the agents of a closed economic system where random and undi-rected exchanges are allowed. W...
Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
Potentially complete market Continuous-time financial market Radner equilibrium It坥 diffusion
2012/9/14
We prove that in smooth Markovian continuous杢ime economies with potentially complete asset markets, Radner equilibria with endoge-nously complete markets exist.
No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs
arbitrage fundamental theorem of asset pricing transaction costs consistent pricing system liquidity dividends credit default swaps
2012/6/5
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage conditio...
Hierarchical structure and time-lag correlation in Worldwide Financial Markets
Hierarchical structure time-lag correlation Worldwide Financial Markets Statistical Finance
2012/6/4
Recently, many studies indicated that the minimum spanning tree (MST) network whose metric distance is de?ned by using correlation coe?cients have strong implications on extracting infor- mation from ...
Duality and Convergence for Binomial Markets with Friction
Super-replication Liquidity Binomial model Limit theorems G-expectation
2011/7/4
We prove limit theorems for the super-replication cost of European options in a
Binomial model with friction. The examples covered aremarkets with proportional
transaction costs and the illiquid mar...
A quantum statistical approach to simplified stock markets
quantum statistical stock markets
2010/11/1
We use standard perturbation techniques originally formulated in quantum (statistical)mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In partic...