Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets (Q2947342)
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scientific article
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| English | Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets |
scientific article |
Statements
CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS (English)
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22 September 2015
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fractional Brownian motion
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fractional binary markets
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transaction costs
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arbitrage
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0.8769822120666504
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0.8618053197860718
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0.844088077545166
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0.8345012068748474
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0.8201350569725037
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