A Relation between Short-Term and Long-Term Arbitrage

Autor:	Liebrich, P.
Rok vydání:	2019
Předmět:	Quantitative Finance - Mathematical Finance
Druh dokumentu:	Working Paper
Popis:	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 from "Stochastic Portfolio Theory". Both aim to describe non-equilibrium effects in financial markets. Thereby, a connection between two different theoretical frameworks of arbitrage is drawn.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1909.00570 Zobrazit plný text záznamu View this record from Arxiv