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Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs.

Emmanuel DenisYuri Kabanov
Published in: Finance Stochastics (2012)
Keyphrases
  • transaction costs
  • complex systems
  • mathematical models
  • probabilistic model
  • trading systems
  • information extraction
  • random fields
  • autoregressive
  • portfolio management
  • feature selection
  • computational models