Related papers: Cross-impact and no-dynamic-arbitrage

The correct interpretation of magnetic properties in the weak-exchange regime has remained a challenging task for several decades. In this regime, the effective exchange interaction between local spins is quite weak, of the same order of…

Breakjunction experiments allow investigating electronic and spintronic properties at the atomic and molecular scale. These experiments generate by their very nature broad and asymmetric distributions of the observables of interest, and…

Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…

In this paper, we consider a dynamic asset pricing model in a cross-sectional economy with two firms where a controlling shareholder cannot divert output in one firm with perfect investor protection for minority shareholders and where he…

A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of sequential market orders of the same kind onto both sides of the…

We formulate an adiabatic theorem adapted to models that present an instantaneous eigenvalue experiencing an infinite number of crossings with the rest of the spectrum. We give an upper bound on the leading correction terms with respect to…

The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…

We consider the problem of indirect comparison, where a treatment arm of interest is absent by design in one randomized controlled trial but available in the other. The former is the target trial, and the latter is the source trial. The…

We introduce the concept of spontaneous symmetry breaking to arbitrage modeling. In the model, the arbitrage strategy is considered as being in the symmetry breaking phase and the phase transition between arbitrage mode and no-arbitrage…

We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…

We generalize classical results on the existence of optimal portfolios in discrete time frictionless market models to models with capital gains taxes. We consider the realistic but mathematically challenging rule that losses do not trigger…

Building on a beyond-GW many-body framework that incorporates higher-order vertex effects in the self-energy -- giving rise to T-matrix and second-order exchange contributions -- this approach is extended to now include the vertex derived…

In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales. At the intraday scale we confirm a square root…

Crossing a quantum critical point in finite time challenges the adiabatic condition due to the closing of the energy gap, which ultimately results in the formation of excitations. Such non-adiabatic excitations are typically deemed…

We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants…

We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments, and featuring collateralization in any currency denominations. In view of this, we first provide a…

A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing risk, it rules out strategies of infinite variation, as they usually appear in frictionless…

In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…

We investigate the impossibility of universally winning trading strategies -- those generating strict profit across all market trajectories -- through three distinct mathematical paradigms. Fundamentally, under standard admissibility…

We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…