Relative arbitrage: sharp time horizons and motion by curvature

Larsson, Martin and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2021) Relative arbitrage: sharp time horizons and motion by curvature. Mathematical Finance, 31 (3). 885 - 906. ISSN 0960-1627

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Abstract

We characterize the minimal time horizon over which any equity market with d ≥ 2 stocks and sufficient intrinsic volatility admits relative arbitrage. If d ∈ {2, 3}, the minimal time horizon can be computed explicitly, its value being zero if √ d = 2 and 3/(2π) if d = 3. If d ≥ 4, the minimal time horizon can be characterized via the arrival time function of a geometric flow of the unit simplex in R d that we call the minimum curvature flow.

Item Type:	Article
Official URL:	https://onlinelibrary.wiley.com/journal/14679965
Additional Information:	© 2021 The Authors
Divisions:	Mathematics
Subjects:	Q Science > QA Mathematics H Social Sciences > HG Finance
Date Deposited:	25 Jan 2021 14:42
Last Modified:	02 Nov 2024 01:51
URI:	http://eprints.lse.ac.uk/id/eprint/108546

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