Scholarlink

<p>This study evaluates the practical usefulness of continuous-time arbitrage strategies designed to exploit serial correlation in fractional financial markets. Specifically, we revisit the strategies of Shiryaev (On arbitrage and replication for fractal models, 1998) and Salopek (Stoch Process Appl 76:217–230, 1998) and transfer them to a real-world setting by distretizing their dynamics and introducing transaction costs. In Monte Carlo simulations with various market and trading parameter settings as well as a formal analysis of discretization error, we show that both are promising with respect to terminal portfolio values and loss probabilities. These features and complementary sparsity make them worth serious consideration in the toolkit of quantitative investors.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion

  • 期刊论文

  • 发表日期：

    2025年3月25日

查看全文
  • Kerstin Lamert,
  • Benjamin R. Auer,
  • Ralf Wunderlich

摘要

This study evaluates the practical usefulness of continuous-time arbitrage strategies designed to exploit serial correlation in fractional financial markets. Specifically, we revisit the strategies of Shiryaev (On arbitrage and replication for fractal models, 1998) and Salopek (Stoch Process Appl 76:217–230, 1998) and transfer them to a real-world setting by distretizing their dynamics and introducing transaction costs. In Monte Carlo simulations with various market and trading parameter settings as well as a formal analysis of discretization error, we show that both are promising with respect to terminal portfolio values and loss probabilities. These features and complementary sparsity make them worth serious consideration in the toolkit of quantitative investors.