Related papers: Sequences of Arbitrages
This paper investigates arbitrage chains involving four currencies and four foreign exchange trader-arbitrageurs. In contrast with the three-currency case, we find that arbitrage operations when four currencies are present may appear…
This article introduces the notion of arbitrage for a situation involving a collection of investments and a payoff matrix describing the return to an investor of each investment under each of a set of possible scenarios. We explain the…
The paper studies the concepts of hedging and arbitrage in a non probabilistic framework. It provides conditions for non probabilistic arbitrage based on the topological structure of the trajectory space and makes connections with the usual…
This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.
We introduce parallelism into the basic algebra of games to model concurrent game algebraically. Parallelism is treated as a new kind of game operation. The resulted algebra of concurrent games can be used widely to reason the parallel…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a unifying conceptual framework for statistical arbitrage and a novel data driven solution. First, we construct arbitrage portfolios of similar…
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…
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…
A quantitative model of concurrent interaction is introduced. The basic objects are linear combinations of partial order relations, acted upon by a group of permutations that represents potential non-determinism in synchronisation. This…
The notion that economies should normally be in equilibrium is by now well-established; equally well-established is that economies are almost never precisely in equilibrium. Using a very general formulation, we show that under dynamics that…
Economies and societal structures in general are complex stochastic systems which may not lend themselves well to algebraic analysis. An addition of subjective value criteria to the mechanics of interacting agents will further complicate…
Statistical arbitrage is a class of financial trading strategies using mean reversion models. The corresponding techniques rely on a number of assumptions which may not hold for general non-stationary stochastic processes. This paper…
This article has one single purpose: introduce a new and simple, yet highly insightful approach to capture, fully and quantitatively, the dynamics of the circular flow of income in economies. The proposed approach relies mostly on basic…
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…
Number sequences defined by a linear recursion relation are studied by means of generating functions. Indices of the terms in the recursion relation have arbitrary differenses. In addition to formulas for the nth term an algorithm is…
Game semantics provides an interactive point of view on proofs, which enables one to describe precisely their dynamical behavior during cut elimination, by considering formulas as games on which proofs induce strategies. We are specifically…
We introduce operational semantics into games. And based on the operational semantics, we establish a full algebra of games, including basic algebra of games, algebra of concurrent games, recursion and abstraction. The algebra can be used…
Geometric arbitrage theory reformulates a generic asset model possibly allowing for arbitrage by packaging all asset and their forward dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes…
This thesis studies arithmetic of linear algebraic groups. It involves studying the properties of linear algebraic groups defined over global fields, local fields and finite fields, or more generally the study of the linear algebraic groups…
A logic calculus is presented that is a conservative extension of linear logic. The motivation beneath this work concerns lazy evaluation, true concurrency and interferences in proof search. The calculus includes two new connectives to deal…