Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item

    Mean-reverting market model: speculative opportunities and non-arbitrage

    Access Status
    Fulltext not available
    Authors
    Dokuchaev, Nikolai
    Date
    2011
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Dokuchaev, Nikolai. 2007. Mean-reverting market model: speculative opportunities and non-arbitrage. Applied Mathematical Finance. 14 (4): pp. 319-337.
    Source Title
    Applied Mathematical Finance
    DOI
    10.1080/13504860701255078
    ISSN
    1350-486X
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/28616
    Collection
    • Curtin Research Publications
    Abstract

    The paper studies arbitrage opportunities and possible speculative opportunities for diffusion mean-reverting market models. It is shown that the Novikov condition is satisfied for any time interval and for any set of parameters. It is non-trivial because the appreciation rate has Gaussian distribution converging to a stationary limit. It follows that the mean-reverting model is arbitrage-free for any finite time interval. Further, it is shown that this model still allows some speculative opportunities: a gain for a wide enough set of expected utilities can be achieved for a strategy that does not require any hypothesis on market parameters and does not use estimation of these parameters.

    Related items

    Showing items related by title, author, creator and subject.

    • Mean-reverting discrete time market models: Speculative opportunities and absence of arbitrage
      Dokuchaev, Nikolai (2012)
      In this article we study discrete time mean-reverting market models. We show that certain choices of initial conditions ensure existence of an equivalent martingale measure and absence of arbitrage for any finite time ...
    • An analysis of Australian mutual fund performance and market relationships
      Pojanavatee, Sasipa (2013)
      Mutual funds are emerging as an opportunity for investors to automatically diversify their investments in such a way that all their money is pooled and the investment decisions are left to a professional manager. There ...
    • State-space risk measurement: an application to renewable energy returns
      Inchauspe, Julian (2011)
      This paper uses state-space methodology for modelling excess returns, risk and dynamics for the WilderHill New Energy Index (NEX). The NEX is a global exchange-traded index for investment in development, production and ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.