Remarks on simple arbitrage on markets with bid and ask prices

Volume 44 / 2017

Agnieszka Rygiel, Łukasz Stettner Applicationes Mathematicae 44 (2017), 33-55 MSC: Primary 91G10; Secondary 60G99, 91B26. DOI: 10.4064/am2310-11-2016 Published online: 19 January 2017

Abstract

We consider various kinds of simple investment strategies on markets with bid and ask prices. We formulate necessary and sufficient conditions for the absence of arbitrage using those strategies. In the last part of the paper we study the absence of arbitrage for simple strategies without shortselling.

Authors

  • Agnieszka RygielDepartment of Mathematics
    Cracow University of Economics
    31-510 Kraków, Poland
    e-mail
  • Łukasz StettnerInstitute of Mathematics
    Polish Academy of Sciences
    00-656 Warszawa, Poland
    and
    Vistula University
    e-mail

Search for IMPAN publications

Query phrase too short. Type at least 4 characters.

Rewrite code from the image

Reload image

Reload image