On long-term arbitrage opportunities in Markovian models of financial markets.

Martin Le Doux Mbele Bidima Miklós Rásonyi

Published in: Ann. Oper. Res. (2012)

Keyphrases

financial markets
markovian models
long term
short term
stock market
stock price
global economy
portfolio selection
market data
risk management
technical indicators
agent based modeling
variable length
trading rules
exchange rate
non stationary
trading systems
case study
portfolio theory