A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
New method for pricing financial products without no-arbitrage condition.
We propose a unified analysis of a whole spectrum of no-arbitrage conditions for financial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No Arbitrage and No Free Lunch with Vanishing Risk. We provide a complete characterisation…
This paper focuses on the stability of the non-arbitrage condition in discrete time market models when some unknown information is partially/fully incorporated into the market. Our main conclusions are twofold. On the one hand, for a fixed market , we prove that the non-arbitrage condition is preserved under a m…
The paper explores arbitrage in financial markets under uncertainty using Wasserstein distance.
Characterizes no Butterfly arbitrage in SVI model parameters.
Polymarket users exploit mispriced assets for profit.
Paper develops a continuous-time framework for financial markets without stochastic calculus.
We have embedded the classical theory of stochastic finance into a differential geometric framework called Geometric Arbitrage Theory and show that it is possible to: --Write arbitrage as curvature of a principal fibre bundle. --Parameterize arbitrage strategies by its holonomy. --Give the Fundamental Theorem of Asset …
In a discrete time and multiple-priors setting, we propose a new characterisation of the condition of quasi-sure no-arbitrage which has become a standard assumption. This characterisation shows that it is indeed a well-chosen condition being equivalent to several previously used alternative notions of no-arbitrage and …
We study the stability of several no-arbitrage conditions with respect to absolutely continuous, but not necessarily equivalent, changes of measure. We first consider models based on continuous semimartingales and show that no-arbitrage conditions weaker than NA and NFLVR are always stable. Then, in the context of gene…
In frictionless financial markets, no-arbitrage is a local property in time. This means that a discrete time model is arbitrage-free if and only if there does not exist a one-period-arbitrage. With capital gains taxes, this equivalence fails. For a model with a linear tax and one non-shortable risky stock, we introduce…
We obtain a deterministic characterisation of the \emph{no free lunch with vanishing risk}, the \emph{no generalised arbitrage} and the \emph{no relative arbitrage} conditions in the one-dimensional diffusion setting and examine how these notions of no-arbitrage relate to each other.
Develops a new model for pricing without arbitrage opportunities.
This paper analyzes how multiple investors can exploit relative arbitrage opportunities.
We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given defaults characterizing the no-free-lunch-with-vanishing-risk condition …
The recent "correlation breakdown" in the modeling of credit default swaps, in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and argued to be a fundamental market inconsistency rather than an inadequacy of the specific model. As a consequence, marke…
Long-term relative arbitrage exists in markets where the excess growth rate of the market portfolio is bounded away from zero. Here it is shown that under a time-homogeneity hypothesis this condition will also imply the existence of relative arbitrage over arbitrarily short intervals.
Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presence of \emph{insider information}. We assume that, since the initial time, the information flow is altered by adding the knowledge of an addi…
Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the losses are not assumed to be bounded from below.) We show that for a class of non-negative strict local martingales, the s…
Reflected geometric Brownian motion models are not arbitrage-free.
We apply Geometric Arbitrage Theory to obtain results in Mathematical Finance, which do not need stochastic differential geometry in their formulation. First, for a generic market dynamics given by a multidimensional Itô's process we specify and prove the equivalence between (NFLVR) and expected utility maximization. A…
In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations, we explicitly show that no kind of arbitrage profit can ever be realised strictly…
Develops a deep learning approach for statistical arbitrage.
The paper studies the concepts of hedging and arbitrage in a non probabilistic framework. It provides conditions for non probabilistic arbitrage based on the topological structure of the trajectory space and makes connections with the usual notion of arbitrage. Several examples illustrate the non probabilistic arbitrag…
The paper explores arbitrage opportunities in derivative markets under specific conditions.
The paper investigates cyclic arbitrage opportunities in decentralized exchanges.
We obtain a constructive criterion for robust no-arbitrage in discrete-time market models with transaction costs. This criterion is expressed in terms of the supports of the regular conditional upper distributions of the solvency cones. We also consider the model with a bank account. A method for construction of arbitr…
Markets composed of stocks with capitalization processes represented by positive continuous semimartingales are studied under the condition that the market excess growth rate is bounded away from zero. The following examples of these markets are given: i) a market with a singular covariance matrix and instantaneous rel…
Study arbitrage in financial markets with trading restrictions.
In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a class of significant sets, which we call Arbitrage de la classe . The choice of reflects into the int…
Paper analyzes arbitrage in uncertain markets, providing quantitative asset pricing.
We show that a trader, who starts with no initial wealth and is not allowed to borrow money or short sell assets, is theoretically able to attain positive wealth by continuous trading, provided that she has perfect foresight of future asset prices, given by a continuous semimartingale. Such an arbitrage strategy can be…
The paper explores risk measures and arbitrage in financial markets.
Characterizes smiles in delta satisfying specific conditions.
We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price an , to be arbitrage free. The arbitrage free conditions give a system of…
Absence-of-Arbitrage (AoA) is the basic assumption underpinning derivatives pricing theory. As part of the OTC derivatives market, the CDS market not only provides a vehicle for participants to hedge and speculate on the default risks of corporate and sovereign entities, it also reveals important market-implied default…
The paper sets criteria for no arbitrage in complex financial models.
Study analyzes bond price covariation robustly under no-arbitrage conditions.
Quantum algorithms improve high-frequency trading efficiency.
We characterize absence of arbitrage with simple trading strategies in a discounted market with a constant bond and several risky assets. We show that if there is a simple arbitrage, then there is a 0-admissible one or an obvious one, that is, a simple arbitrage which promises a minimal riskless gain of ε, if the inves…
Study compares costs and arbitrage in CEXs vs DEXs, finding DEXs better for large trades.
This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with vanishing risk, of the form of waiting to buy and selling the next period, with no shorting, and furthermore for weak conv…
In discrete time markets with proportional transaction costs, Schachermayer (2004) shows that robust no-arbitrage is equivalent to the existence of a strictly consistent price system. In this paper, we introduce the concept of prospective strict no-arbitrage that is a variant of the strict no-arbitrage property from Ka…
The paper analyzes arbitrage opportunities in a large investor market with common stock noises.
DCNN improves volatility smile and skewness calibration without arbitrage constraints.
The present paper deals with the characterization of no-arbitrage properties of a continuous semimartingale. The first main result, Theorem \refMainTheoremCharNA, extends the no-arbitrage criterion by Levental and Skorohod [Ann. Appl. Probab. 5 (1995) 906-925] from diffusion processes to arbitrary continuous semimartin…
Develops a framework for identifying mispriced assets through attention factors for statistical arbitrage.
Detects arbitrage in multi-asset derivatives markets.