Related papers: Sequences of Arbitrages
We study the problem of arithmetic billiards from a new perspective. We first raise a similar problem about reflecting lights inside grids. For the solution to this problem, we will give three proofs. Next, we consider a similar problem in…
This work connects two mathematical fields - computational complexity and interval linear algebra. It introduces the basic topics of interval linear algebra - regularity and singularity, full column rank, solving a linear system, deciding…
Residual coherence is a graphical tool for selecting potential second-order interaction terms as functions of a single time series and its lags. This paper extends the notion of residual coherence to account for interaction terms of…
On the one hand the algebras of linear operators here act on finite-dimensional vector spaces, and on the other hand the point of view is generally an analysts'. Also, one might think of algebras as being used to add more data to basic…
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker…
This paper builds a model of interactive belief hierarchies to derive the conditions under which judging an arbitrage opportunity requires Bayesian market participants to exercise their higher-order beliefs. As a Bayesian, an agent must…
A person is given a numbered sequence of positions on a sheet of paper. The person is asked, "Which will be the next (or the next after that) position?" Everyone has an opinion as to how he or she would proceed. There are regular sequences…
In the paper we study markets with concave transaction costs which depend in a concave way on the volume of transaction. This is typical situation in the case of small investors, which commonly appears in currency and real estate markets.…
If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX)…
In this work, we identify the most general measure of arbitrage for any market model governed by It\^o processes. We show that our arbitrage measure is invariant under changes of num\'{e}raire and equivalent probability. Moreover, such…
In process algebras such as ACP (Algebra of Communicating Processes), parallel processes are considered to be interleaved in an arbitrary way. In the case of multi-threading as found in contemporary programming languages, parallel processes…
Starting from a description of various generalized function algebras based on sequence spaces, we develop the general framework for considering linear problems with singular coefficients or non linear problems. Therefore, we prove…
A simple iteration methodology for the solution of a set of a linear algebraic equations is presented. The explanation of this method is based on a pure geometrical interpretation and pictorial representation. Convergence using this method…
We consider an infinite dimensional optimization problem motivated by mathematical economics. Within the celebrated "Arbitrage Pricing Model", we use probabilistic and functional analytic techniques to show the existence of optimal…
What is Sequence Algebra? This is a question that any teacher or student of mathematics or computer science can engage with. Sequences are in Calculus, Combinatorics, Statistics and Computation. They are foundational, a step up from number…
We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen-dollar rate, the dollar-euro rate and the yen-euro rate. Next, we propose a model of…
Probabilistic concurrent/distributed strategies have so far not been investigated thoroughly in the context of imperfect information, where the Player has only partial knowledge of the moves made by the Opponent. In a situation where the…
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise to arbitrage opportunities. We study…
Sequence models are a critical component of modern NLP systems, but their predictions are difficult to explain. We consider model explanations though rationales, subsets of context that can explain individual model predictions. We find…
Convergent sequences of real numbers play a fundamental role in many different problems in system theory, e.g., in Lyapunov stability analysis, as well as in optimization theory and computational game theory. In this survey, we provide an…