Mean-reverting market model: speculative opportunities and non-arbitrage
| dc.contributor.author | Dokuchaev, Nikolai | |
| dc.date.accessioned | 2017-01-30T13:06:05Z | |
| dc.date.available | 2017-01-30T13:06:05Z | |
| dc.date.created | 2011-11-18T01:21:24Z | |
| dc.date.issued | 2011 | |
| dc.identifier.citation | Dokuchaev, Nikolai. 2007. Mean-reverting market model: speculative opportunities and non-arbitrage. Applied Mathematical Finance. 14 (4): pp. 319-337. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/28616 | |
| dc.identifier.doi | 10.1080/13504860701255078 | |
| dc.description.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. | |
| dc.publisher | Chapman & Hall (Taylor & Francis) | |
| dc.subject | mean-reverting model | |
| dc.subject | technical analysis | |
| dc.subject | universal portfolio | |
| dc.subject | self-financing strategies | |
| dc.subject | arbitrage | |
| dc.subject | diffusion market | |
| dc.title | Mean-reverting market model: speculative opportunities and non-arbitrage | |
| dc.type | Journal Article | |
| dcterms.source.volume | 14 | |
| dcterms.source.startPage | 319 | |
| dcterms.source.endPage | 337 | |
| dcterms.source.issn | 1350-486X | |
| dcterms.source.title | Applied Mathematical Finance | |
| curtin.department | Department of Mathematics and Statistics | |
| curtin.accessStatus | Fulltext not available |