Cookies?
Library Header Image
LSE Research Online LSE Library Services

Relative arbitrage: sharp time horizons and motion by curvature

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

[img] Text (mafi.12303) - Published Version
Available under License Creative Commons Attribution.

Download (742kB)

Identification Number: 10.1111/mafi.12303

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: 20 Sep 2021 04:11
URI: http://eprints.lse.ac.uk/id/eprint/108546

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics