Arbitrage risk induced by transaction costs
E. W. Piotrowski, J. Sladkowski
Abstract
We discuss the time evolution of quotation of stocks and commodities and show that they form an Ising chain. We show that transaction costs induce arbitrage risk that usually is neglected. The full analysis of the portfolio theory is computationally complex but the latest development in quantum computation theory suggests that such a task can be performed on quantum computers.
Create a lesson
Related papers
Knots in Condensed Matters
Y. M. Cho
Bouchaud's model exhibits two different aging regimes in dimension one
Gerard Ben Arous, Jiri Cerny
Periodic diffraction patterns for 1D quasicrystals
Pawel Buczek, Lorenzo Sadun, Janusz Wolny
Adiabatic association of ultracold molecules via magnetic field tunable interactions
Krzysztof Goral, Thorsten Koehler, Simon A. Gardiner et al.
High-Temperature Atomic Superfluidity in Lattice Boson-Fermion Mixtures
F. Illuminati, A. Albus
Constructive Methods of Invariant Manifolds for Kinetic Problems
A. N. Gorban, I. V. Karlin, A. Yu. Zinovyev