Binary market models with memory

DOI10.1016/J.SPL.2006.07.007zbMATH Open1160.91355arXivmath/0408119OpenAlexW2033111457MaRDI QIDQ871007FDOQ871007

Akihiko Inoue, Yumiharu Nakano, Vo V. Anh

Publication date: 15 March 2007

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

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.

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

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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)

Cites Work

• Title not available (Why is that?)
• Probability with Martingales
• Fractional Brownian motion, random walks and binary market models
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• Financial Markets with Memory I: Dynamic Models
• Financial Markets with Memory II: Innovation Processes and Expected Utility Maximization
• Linear filtering of systems with memory and application to finance
• Title not available (Why is that?)

Cited In (3)

• Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
• BINARY MARKETS UNDER TRANSACTION COSTS
• Linear filtering of systems with memory and application to finance

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