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Covered arbitrage margin and transaction costs

✍ Scribed by Callier, Philippe

Book ID
112828218
Publisher
Springer
Year
1981
Tongue
English
Weight
652 KB
Volume
117
Category
Article
ISSN
1610-2924

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πŸ“œ SIMILAR VOLUMES

Arbitrage risk induced by transaction co
Arbitrage risk induced by transaction costs
✍ Edward W Piotrowski; Jan SΕ‚adkowski πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 191 KB

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 comp