{"title":"Remarks on simple arbitrage on markets with bid and ask prices","authors":"A. Rygiel, Ł. Stettner","doi":"10.4064/AM2310-11-2016","DOIUrl":null,"url":null,"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.","PeriodicalId":52313,"journal":{"name":"Applicationes Mathematicae","volume":"297 1","pages":"33-55"},"PeriodicalIF":0.0000,"publicationDate":"2017-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applicationes Mathematicae","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4064/AM2310-11-2016","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Mathematics","Score":null,"Total":0}
引用次数: 0
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.