Arbitrage risk induced by transaction costs
Condensed Matter
2015-06-24 v2 Computational Physics
Abstract
We discuss the time evolution of quotation of stocks and commodities and show that they form an Ising chain. We show that transaction costs induce arbitrage risk that usually is neglected. The full analysis of the portfolio theory is computationally complex but the latest development in quantum computation theory suggests that such a task can be performed on quantum computers.
Cite
@article{arxiv.cond-mat/0305472,
title = {Arbitrage risk induced by transaction costs},
author = {E. W. Piotrowski and J. Sladkowski},
journal= {arXiv preprint arXiv:cond-mat/0305472},
year = {2015}
}
Comments
9 pages, LaTeX