No arbitrage and lead-lag relationships

被引：1

作者：

Hayashi, Takaki ^{[1
,2
,3
]}

Koike, Yuta ^{[2
,3
,4
,5
]}

机构：

[1] Keio Univ, Grad Sch Business Adm, 4-1-1 Hiyoshi, Yokohama, Kanagawa 2238526, Japan

[2] Tokyo Metropolitan Univ, Grad Sch Social Sci, Dept Business Adm, Chiyoda Ku, Marunouchi Eiraku Bldg 18F,1-4-1 Marunouchi, Tokyo 1000005, Japan

[3] Japan Sci & Technol Agcy, CREST, Kawaguchi, Saitama, Japan

[4] Univ Tokyo, Grad Sch Math Sci, Meguro Ku, 3-8-1 Komaba, Tokyo 1538914, Japan

[5] Inst Stat Math, 10-3 Midori Cho, Tachikawa, Tokyo 1908562, Japan

来源：

STATISTICS & PROBABILITY LETTERS | 2019年 / 154卷

关键词：

Arbitrage; Cheridito class; Conditional full support; Discrete trading; Lead-lag relationship; Transaction costs; FUNDAMENTAL THEOREM; TRANSACTION COSTS; STOCK INDEX; FUTURES; MARKETS;

D O I：

10.1016/j.spl.2019.06.006

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The existence of time-lagged cross-correlations between the returns of a pair of assets, which is known as the lead-lag relationship, is a well-known stylized fact in financial econometrics. Recently some continuous-time models have been proposed to take account of the lead-lag relationship. Such a model does not follow a semimartingale as long as the lead-lag relationship is present, so it admits an arbitrage without market frictions. In this paper we show that they are free of arbitrage if we take account of market frictions such as the presence of minimal waiting time on subsequent transactions or transaction costs. (C) 2019 Elsevier B.V. All rights reserved.

引用

页数：11

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