Asymptotic arbitrage in fractional mixed markets

Cordero F, Klein I, Perez-Ostafe L (2018)
MODERN STOCHASTICS-THEORY AND APPLICATIONS 5(4): 415-428.

Zeitschriftenaufsatz | Veröffentlicht| Englisch
 
Download
Es wurde kein Volltext hochgeladen. Nur Publikationsnachweis!
Autor/in
Cordero, FernandoUniBi; Klein, Irene; Perez-Ostafe, Lavinia
Abstract / Bemerkung
We consider a family of mixed processes given as the sum of a fractional Brownian motion with Hurst parameter H is an element of (3/4, 1) and a multiple of an independent standard Brownian motion, the family being indexed by the scaling factor in front of the Brownian motion. We analyze the underlying markets with methods from large financial markets. More precisely, we show the existence of a strong asymptotic arbitrage (defined as in Kabanov and Kramkov [Finance Stoch. 2(2), 143-172 (1998)]) when the scaling factor converges to zero. We apply a result of Kabanov and Kramkov [Finance Stoch. 2(2), 143-172 (1998)] that characterizes the notion of strong asymptotic arbitrage in terms of the entire asymptotic separation of two sequences of probability measures. The main part of the paper consists of proving the entire separation and is based on a dichotomy result for sequences of Gaussian measures and the concept of relative entropy.
Erscheinungsjahr
2018
Zeitschriftentitel
MODERN STOCHASTICS-THEORY AND APPLICATIONS
Band
5
Ausgabe
4
Seite(n)
415-428
ISSN
2351-6054
Page URI
https://pub.uni-bielefeld.de/record/2933527

Zitieren

Cordero F, Klein I, Perez-Ostafe L. Asymptotic arbitrage in fractional mixed markets. MODERN STOCHASTICS-THEORY AND APPLICATIONS. 2018;5(4):415-428.
Cordero, F., Klein, I., & Perez-Ostafe, L. (2018). Asymptotic arbitrage in fractional mixed markets. MODERN STOCHASTICS-THEORY AND APPLICATIONS, 5(4), 415-428. doi:10.15559/18-VMSTA109
Cordero, F., Klein, I., and Perez-Ostafe, L. (2018). Asymptotic arbitrage in fractional mixed markets. MODERN STOCHASTICS-THEORY AND APPLICATIONS 5, 415-428.
Cordero, F., Klein, I., & Perez-Ostafe, L., 2018. Asymptotic arbitrage in fractional mixed markets. MODERN STOCHASTICS-THEORY AND APPLICATIONS, 5(4), p 415-428.
F. Cordero, I. Klein, and L. Perez-Ostafe, “Asymptotic arbitrage in fractional mixed markets”, MODERN STOCHASTICS-THEORY AND APPLICATIONS, vol. 5, 2018, pp. 415-428.
Cordero, F., Klein, I., Perez-Ostafe, L.: Asymptotic arbitrage in fractional mixed markets. MODERN STOCHASTICS-THEORY AND APPLICATIONS. 5, 415-428 (2018).
Cordero, Fernando, Klein, Irene, and Perez-Ostafe, Lavinia. “Asymptotic arbitrage in fractional mixed markets”. MODERN STOCHASTICS-THEORY AND APPLICATIONS 5.4 (2018): 415-428.