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Differential rates, residual information sets and transactional algebras

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  • Rodolfo Apreda

Abstract

The purpose of this paper is to model differential rates over residual information sets, so as to shape transactional algebras into operational grounds. Firstly, simple differential rates over residual information sets are introduced by taking advantage of finite algebras of sets. Secondly, after contextual sets and the relevant algebra of information sets is suitably fashioned, generalized differential rates over residual information sets are expanded on, while a recursive algorithm is set forth to characterize such rates and sets. Thirdly, the notion of transactional algebra is presented and heed is given to the costs of running such structure. Finally, an application to financial arbitrage processes is fully developed within a transactional algebra, setting up arbitrage returns net of transaction costs, establishing boundary conditions for an arbitrage to take place, and finally allowing for a definition of what should be meant by financial arbitrage within a transactional algebra.

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Bibliographic Info

Paper provided by Universidad del CEMA in its series CEMA Working Papers: Serie Documentos de Trabajo. with number 256.

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Date of creation: Feb 2004
Date of revision:
Handle: RePEc:cem:doctra:256

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Keywords: differential rates; residual information sets; transactional algebras; arbitrage;

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References

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  1. Rodolfo Apreda, 2001. "The Brokerage of Asymmetric Information," CEMA Working Papers: Serie Documentos de Trabajo. 190, Universidad del CEMA.
  2. Rodolfo Apreda, 2003. "On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)," CEMA Working Papers: Serie Documentos de Trabajo. 239, Universidad del CEMA.
  3. Rodolfo Apreda, 2000. "A transaction costs approach to financial assets rates of return," CEMA Working Papers: Serie Documentos de Trabajo. 161, Universidad del CEMA.
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Cited by:
  1. Rodolfo Apreda, 2007. "The rise of corporate governance brokers and how they trade in asymmetric information," CEMA Working Papers: Serie Documentos de Trabajo. 341, Universidad del CEMA.
  2. Rodolfo Apreda, 2008. "Cost of capital adjusted for governance risk through a multiplicative model of expected returns," CEMA Working Papers: Serie Documentos de Trabajo. 383, Universidad del CEMA.
  3. Rodolfo Apreda, 2006. "Subsidiarity portfolios and separation compacts to enhance the governance of state-owned banks," CEMA Working Papers: Serie Documentos de Trabajo. 317, Universidad del CEMA.
  4. Rodolfo Apreda, 2005. "Arbitrage in foreign exchange markets within the context of a transactional algebra," CEMA Working Papers: Serie Documentos de Trabajo. 290, Universidad del CEMA.
  5. Rodolfo Apreda, 2012. "Opaque governance, special purpose vehicles, and the preacher┬┤s waiver," CEMA Working Papers: Serie Documentos de Trabajo. 481, Universidad del CEMA.

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