Binary market models with memory

DOI10.1016/J.SPL.2006.07.007MaRDI QIDQ871007zbMATH OpenOpenAlexFDO

Authors Akihiko Inoue, Yumiharu Nakano, Vo V. Anh

Publication date 15 March 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0408119

zbMATH Keywords

arbitragebinary marketfinancial market with memory

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Functional limit theorems; invariance principles (60F17)

Abstract: We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient conditions for the binary market to be arbitrage-free. In a case when arbitrage opportunities exist, we present the rate at which the arbitrage probability tends to zero as the number of periods goes to infinity.

Recommendations

• Asymptotic proportion of arbitrage points in fractional binary markets
• Binary markets under transaction costs
• Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market
• Arbitrage in fractional Brownian motion models
• Strong asymptotic arbitrage in the large fractional binary market

Cites work

• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 1234546 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Financial Markets with Memory I: Dynamic Models
• Financial Markets with Memory II: Innovation Processes and Expected Utility Maximization
• Fractional Brownian motion, random walks and binary market models
• Linear filtering of systems with memory and application to finance
• Probability with Martingales

Cited in

(4)

• Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
• Asymptotic proportion of arbitrage points in fractional binary markets
• Binary markets under transaction costs
• Linear filtering of systems with memory and application to finance

This page was built for publication: Binary market models with memory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q871007)