Strong asymptotic arbitrage in the large fractional binary market

DOI10.1007/s11579-015-0155-3zbMath1334.60054arXiv1501.07445OpenAlexW3101768219WikidataQ59470366 ScholiaQ59470366MaRDI QIDQ253102

Lavinia Perez-Ostafe, Fernando Cordero

Publication date: 8 March 2016

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.07445

zbMATH Keywords

fractional Brownian motionlaw of large numbersstopping timetransaction costsasymptotic arbitragefractional binary markets

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15) Microeconomic theory (price theory and economic markets) (91B24) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (2)

ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL ⋮ Asymptotic arbitrage in fractional mixed markets

Cites Work

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