A Relation between Short-Term and Long-Term Arbitrage
Mathematical Finance
2019-09-04 v1
Abstract
In this work a relation between a measure of short-term arbitrage in the market and the excess growth of portfolios as a notion of long-term arbitrage is established. The former originates from "Geometric Arbitrage Theory" and the latter from "Stochastic Portfolio Theory". Both aim to describe non-equilibrium effects in financial markets. Thereby, a connection between two different theoretical frameworks of arbitrage is drawn.
Cite
@article{arxiv.1909.00570,
title = {A Relation between Short-Term and Long-Term Arbitrage},
author = {P. Liebrich},
journal= {arXiv preprint arXiv:1909.00570},
year = {2019}
}