Generalised Lyapunov Functions and Functionally Generated Trading Strategies

Q3 Mathematics

Applied Mathematical Finance Pub Date : 2018-01-23 DOI:10.1080/1350486X.2019.1584041

Johannes Ruf, Kangjianan Xie

引用次数: 3

Abstract

ABSTRACT This paper investigates the dependence of functional portfolio generation, introduced by Fernholz (1999), on an extra finite variation process. The framework of Karatzas and Ruf (2017) is used to formulate conditions on trading strategies to be strong arbitrage relative to the market over sufficiently large time horizons. A mollification argument and Komlós theorem yield a general class of potential arbitrage strategies. These theoretical results are complemented by several empirical examples using data from the S&P 500 stocks.

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广义Lyapunov函数与函数生成交易策略

本文研究了Fernholz(1999)引入的函数组合生成对一个额外有限变分过程的依赖性。Karatzas和Ruf(2017)的框架用于制定交易策略的条件，以便在足够大的时间范围内相对于市场具有强大的套利能力。一个缓和论证和Komlós定理产生了一类潜在套利策略。这些理论结果得到了几个使用标准普尔500指数股票数据的实证例子的补充。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Applied Mathematical Finance Economics, Econometrics and Finance-Finance

CiteScore

2.30

自引率

0.00%

发文量

期刊介绍： The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: •modelling of financial and economic primitives (interest rates, asset prices etc); •modelling market behaviour; •modelling market imperfections; •pricing of financial derivative securities; •hedging strategies; •numerical methods; •financial engineering.