Related papers: Gauge Invariance, Geometry and Arbitrage
An improved volume-weighted probability measure for eternal inflation is proposed. For the models studied in this paper it leads to simple and intuitively expected gauge-invariant results.
The conservation of physical quantities under coordinate transformations, known as gauge invariance, has been the foundation of theoretical frameworks in both quantum and classical theory. The finding of gauge-invariant quantities has…
Study of gauge symmetry is carried over the different interacting and noninteracting field theoretical models through a prescription based on lagrangian formulation. It is found that the prescription is capable of testing whether a given…
Statistical arbitrage methods identify mispricings in securities with the goal of building portfolios which are weakly correlated with the market. In pairs trading, an arbitrage opportunity is identified by observing relative price…
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset Pricing and a Superhedging Theorem,…
This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.
We develop a novel observation-driven model for high-frequency prices. We account for irregularly spaced observations, simultaneous transactions, discreteness of prices, and market microstructure noise. The relation between trade durations…
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…
We show that the lack of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step probability measures, together with an adapted process with…
Trade prices of about 1000 New York Stock Exchange-listed stocks are studied at one-minute time resolution over the continuous five year period 2018--2022. For each stock, in dollar-volume-weighted transaction time, the discrepancy from a…
In this paper, a Lagrangian perturbation theory for the second order treatment of small disturbances of the event horizon in Schwarzchild black holes is introduced. The issue of gauge invariance in the context of general relativistic theory…
We present an approach, based on deep neural networks, that allows identifying robust statistical arbitrage strategies in financial markets. Robust statistical arbitrage strategies refer to trading strategies that enable profitable trading…
In this study, we consider the asset pricing under model uncertainty with discrete time and states structure. For the single-period securities model, we give a novel definition of arbitrage under a family of probability, and explore of its…
Systems of coupled rate equations are ubiquitous in many areas of science, for example in the description of electronic transport through quantum dots and molecules. They can be understood as a continuity equation expressing the…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
Generalized statistical arbitrage concepts are introduced corresponding to trading strategies which yield positive gains on average in a class of scenarios rather than almost surely. The relevant scenarios or market states are specified via…
The aim of this paper is to show the gauge-invariance on the response of interferometers to gravitational waves (GWs). In this process, after a review of results on the Tranverse-Traceless (TT) gauge, where, in general, the theoretical…
Consider a financial market with nonnegative semimartingales which does not need to have a num\'{e}raire. We are interested in the absence of arbitrage in the sense that no self-financing portfolio gives rise to arbitrage opportunities,…
We consider non-concave and non-smooth random utility functions with do- main of definition equal to the non-negative half-line. We use a dynamic pro- gramming framework together with measurable selection arguments to establish both the…
We propose a new point of view to gauge theories based on taking the action of symmetry transformations directly on the coordinates of space. Via this approach the gauge fields are not introduced at the first step, and they can be…