Sequences of Arbitrages
Trading and Market Microstructure
2010-04-06 v1 Rings and Algebras
Abstract
The goal of this article is to understand some interesting features of sequences of arbitrage operations, which look relevant to various processes in Economics and Finances. In the second part of the paper, analysis of sequences of arbitrages is reformulated in the linear algebra terms. This admits an elegant geometric interpretation of the problems under consideration linked to the asynchronous systems theory. We feel that this interpretation will be useful in understanding more complicated, and more realistic, mathematical models in economics.
Keywords
Cite
@article{arxiv.1004.0561,
title = {Sequences of Arbitrages},
author = {Victor Kozyakin and Brian O'Callaghan and Alexei Pokrovskii},
journal= {arXiv preprint arXiv:1004.0561},
year = {2010}
}
Comments
18 pages, 4 figures, 4 tables