Remarks on simple arbitrage on markets with bid and ask prices
Volume 44 / 2017
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.
