Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets - Research Collection

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Author

Cordero, Fernando

Perez-Ostafe, Lavinia

Date

2015-08

Type

Journal Article

Citations

Cited 2 times in Web of Science

Cited 3 times in Scopus

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1142/S0219024915500296

Journal / series

International Journal of Theoretical and Applied Finance

Volume

18(5)

Pages / Article No.

1550029

Publisher

World Scientific

Subject

Fractional Brownian motion; Fractional binary markets; Transaction costs; Arbitrage

Related publications and datasets

Is new version of: http://hdl.handle.net/20.500.11850/96946

Notes

Published online 15 July 2015.

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Citations

Cited 2 times in Web of Science

Cited 3 times in Scopus

ETH Bibliography

yes

Altmetrics