No arbitrage and lead-lag relationships

DOI10.1016/j.spl.2019.06.006zbMath1457.91358arXiv1712.09854OpenAlexW2962898999MaRDI QIDQ2273697

Takaki Hayashi, Yuta Koike

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

zbMATH Keywords

transaction costsarbitragelead-lag relationshipdiscrete tradingconditional full supportcheridito class

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial markets (91G15)

Related Items (1)

Wavelet-Based Methods for High-Frequency Lead-Lag Analysis

Cites Work

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