No arbitrage and lead-lag relationships
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Publication:2273697
DOI10.1016/j.spl.2019.06.006zbMath1457.91358arXiv1712.09854OpenAlexW2962898999MaRDI QIDQ2273697
Publication date: 25 September 2019
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.09854
transaction costsarbitragelead-lag relationshipdiscrete tradingconditional full supportcheridito class
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial markets (91G15)
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Cites Work
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