✦ LIBER ✦

Arbitrage risk induced by transaction costs

✍ Scribed by Edward W Piotrowski; Jan Sładkowski

Publisher: Elsevier Science
Year: 2004
Tongue: English
Weight: 191 KB
Volume: 331
Category: Article
ISSN: 0378-4371
DOI: 10.1016/j.physa.2003.09.015

No coin nor oath required. For personal study only.

✦ Synopsis

We discuss the time evolution of quotation of stocks and commodities and show that they form an Ising chain. We show that transaction costs induce arbitrage risk that is usually neglected. The full analysis of the portfolio theory is computationally complex but the latest development in quantum computation theory suggests that such a task can be performed on quantum computers.

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