A Relation between Short-Term and Long-Term Arbitrage

P. Liebrich

Papers from arXiv.org

Abstract: In this work a relation between a measure of short-term arbitrage in the market and the excess growth of portfolios as a notion of long-term arbitrage is established. The former originates from "Geometric Arbitrage Theory" and the latter from "Stochastic Portfolio Theory". Both aim to describe non-equilibrium effects in financial markets. Thereby, a connection between two different theoretical frameworks of arbitrage is drawn.

Date: 2019-09
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