Related papers: Relative Arbitrage: Sharp Time Horizons and Motion…

We consider an illiquid financial market where a risk averse investor has to liquidate a portfolio within a finite time horizon [0,T] and can trade continuously at a traditional exchange (the "primary venue") and in a dark pool. At the…

In a temporal graph, each edge is available at specific points in time. Such an availability point is often represented by a ''temporal edge'' that can be traversed from its tail only at a specific departure time, for arriving in its head…

We introduce the notions of Collective Arbitrage and of Collective Super-replication in a discrete-time setting where agents are investing in their markets and are allowed to cooperate through exchanges. We accordingly establish versions of…

A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both…

Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when combined with a direct investment in the underlying asset,…

A marginally outer trapped hypersurface is a generalization of minimal hypersurfaces originated from general relativity. We show a curvature estimate for stable marginally outer trapped hypersurfaces up to the free boundary satisfying a…

A market model with $d$ assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a num\`eraire is not assumed. It is shown that robust no arbitrage…

We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New…

It is known that the event horizon of a black hole can often be identified from the zeroes of some curvature invariants. The situation in lower dimensions has not been thoroughly clarified. In this work we investigate both (2+1)- and…

The spin angular momentum $S$ of an isolated Kerr black hole is bounded by the surface area $A$ of its apparent horizon: $8\pi S \le A$, with equality for extremal black holes. In this paper, we explore the extremality of individual and…

This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…

Quadratic hedging of option payoffs generates the variance optimal martingale measure. When an option features an exercise policy and its cash flows are hedged according to this approach, it may be tempting to optimize such a policy under…

The quadratic system provided by the Time of Arrival technique can be solved analytically or by optimization algorithms. In practice, a combination of both methods is used. An important problem in quadratic optimization is the possible…

This paper derives explicit formulas for both the small and large time limits of the implied volatility in the minimal market model. It is shown that interest rates do impact on the implied volatility in the long run even though they are…

We empirically analyze the reversion of financial market trends with time horizons ranging from minutes to decades. The analysis covers equities, interest rates, currencies and commodities and combines 14 years of futures tick data, 30…

A framework is developed in which one can write down the constraint equations on a three--dimensional hypersurface of arbitrary signature. It is then applied to isolated and dynamical horizons. The derived equations can be used to extract…

We study the time that the simple exclusion process on the complete graph needs to reach equilibrium in terms of total variation distance. For the graph with n vertices and 1<<k<n/2 particles we show that the mixing time is of order…

Dynamic trading strategies, in the spirit of trend-following or mean-reversion, represent an only partly understood but lucrative and pervasive area of modern finance. Assuming Gaussian returns and Gaussian dynamic weights or signals,…

In this paper we present several curvature estimates and convergence results for solutions of the Ricci flow. The curvature estimates depend on smallness of certain local space-time integrals of the norm of the Riemann curvature tensor,…

We propose a discrete time algorithm for the valuation of employee stock options based on exponential indifference prices and taking into account both the possibility of partial exercise of a fraction of the options and the use of a…