Arbitrage risk induced by transaction costs

Edward Piotrowski () and Jan Sladkowski ()

Physica A: Statistical Mechanics and its Applications, 2004, vol. 331, issue 1, 233-239

Abstract: We discuss the time evolution of quotation of stocks and commodities and show that they form an Ising chain. We show that transaction costs induce arbitrage risk that is usually neglected. The full analysis of the portfolio theory is computationally complex but the latest development in quantum computation theory suggests that such a task can be performed on quantum computers.

Keywords: Econophysics; Financial markets; Quantum computations; Portfolio theory (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:331:y:2004:i:1:p:233-239

DOI: 10.1016/j.physa.2003.09.015

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