On long-term arbitrage opportunities in Markovian models of financial markets

被引：5
|
作者：
Bidima, Martin L. D. Mbele [2 ]
Rasonyi, Miklos [1 ]
机构：
[1] Univ Edinburgh, Sch Math, Edinburgh EH9 3JZ, Midlothian, Scotland
[2] Cent European Univ, Dept Math & Its Applicat, Budapest, Hungary
来源：
ANNALS OF OPERATIONS RESEARCH | 2012年 / 200卷 / 01期
关键词：
Asymptotic arbitrage; Large deviations; Markov chains; Loss probability; ASYMPTOTIC ARBITRAGE;
D O I：
10.1007/s10479-011-0892-5
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
A discrete-time infinite horizon stock market model is considered where the logarithm of the price is assumed to be a Markov chain arising from the time-discretization of a stochastic differential equation. Conditions are given which ensure that there exist investment strategies producing an exponential growth of wealth with a probability converging to 1. The rate of this convergence is studied using large deviation techniques.
引用
收藏
页码：131 / 146
页数：16
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