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Arbitrage risk induced by transaction costs


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  • Piotrowski, Edward W
  • Sładkowski, Jan
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    We discuss the time evolution of quotation of stocks and commodities and show that they form an Ising chain. We show that transaction costs induce arbitrage risk that is usually neglected. The full analysis of the portfolio theory is computationally complex but the latest development in quantum computation theory suggests that such a task can be performed on quantum computers.

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    Bibliographic Info

    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 331 (2004)
    Issue (Month): 1 ()
    Pages: 233-239

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    Handle: RePEc:eee:phsmap:v:331:y:2004:i:1:p:233-239

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    Keywords: Econophysics; Financial markets; Quantum computations; Portfolio theory;


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    Cited by:
    1. Edward W. Piotrowski & Jan Sladkowski & Anna Szczypinska, 2007. "Reinforcement learning in market games," Papers 0710.0114,
    2. Szczypińska, Anna & Piotrowski, Edward W., 2009. "Inconsistency of the judgment matrix in the AHP method and the decision maker’s knowledge," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 907-915.
    3. Ireneusz Pakula & Edward W. Piotrowski & Jan Sladkowski, . "Universality of Measurements on Quantum Markets," Departmental Working Papers 23, University of Bialtystok, Department of Theoretical Physics.
    4. Domino, Krzysztof, 2012. "The use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 156-169.


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