No arbitrage and lead-lag relationships (Q2273697): Difference between revisions

@@ Property / cites work @@
+Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures
+Normal rank
@@ Property / cites work @@
+Simple arbitrage
@@ Property / cites work: Simple arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+Sticky Continuous Processes have Consistent Price Systems
+Normal rank
@@ Property / cites work @@
+Fractional Processes as Models in Stochastic Finance
+Normal rank
@@ Property / cites work @@
+Arbitrage in fractional Brownian motion models
@@ Property / cites work: Arbitrage in fractional Brownian motion models / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market *
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+Conditional Full Support of Gaussian Processes with Stationary Increments
+Normal rank
@@ Property / cites work @@
+Optimal investment with transaction costs and without semimartingales
+Normal rank
@@ Property / cites work @@
+NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing under transaction costs
+Normal rank
@@ Property / cites work @@
+Consistent price systems and face-lifting pricing under transaction costs
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing for continuous processes under small transaction costs
+Normal rank
@@ Property / cites work @@
+Wavelet-Based Methods for High-Frequency Lead-Lag Analysis
+Normal rank
@@ Property / cites work @@
+Estimation of the lead-lag parameter from non-synchronous data
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+No arbitrage without semimartingales
@@ Property / cites work: No arbitrage without semimartingales / rank @@
+Normal rank
@@ Property / cites work @@
+Non-arbitrage criteria for financial markets with efficient friction
+Normal rank
@@ Property / cites work @@
+Markets with transaction costs. Mathematical theory.
+Normal rank
@@ Property / cites work @@
+The Harrison-Pliska arbitrage pricing theorem under transaction costs
+Normal rank
@@ Property / cites work @@
+Stochastic Integrals and Conditional Full Support
@@ Property / cites work: Stochastic Integrals and Conditional Full Support / rank @@
+Normal rank
@@ Property / cites work @@
+On the conditional small ball property of multivariate Lévy-driven moving average processes
+Normal rank
@@ Property / cites work @@
+Q5533878
@@ Property / cites work: Q5533878 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Brownian motion satisfies two-way crossing
+Normal rank
@@ Property / cites work @@
+A CLOSER LOOK AT THE EPPS EFFECT
@@ Property / cites work: A CLOSER LOOK AT THE EPPS EFFECT / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+On the limiting spectral distribution of the covariance matrices of time-lagged processes
+Normal rank
@@ Property / cites work @@
+Q4340096
@@ Property / cites work: Q4340096 / rank @@
+Normal rank
@@ Property / cites work @@
+Absence of arbitrage in a general framework
@@ Property / cites work: Absence of arbitrage in a general framework / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage-free models in markets with transaction costs
+Normal rank
@@ Property / cites work @@
+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
+Normal rank
@@ Property / cites work @@
+Q4225849
@@ Property / cites work: Q4225849 / rank @@
+Normal rank