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Arbitrage Risk Induced by Transaction Costs

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Edward W. Piotrowski ()
Jan Sladkowski ()

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Abstract

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 usually is 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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File URL: http://alpha.uwb.edu.pl/ep/RePEc/sla/eakjkl/17.pdf
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Paper provided by University of Bialtystok, Department of Theoretical Physics in its series Departmental Working Papers with number 17.

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Handle: RePEc:sla:eakjkl:17

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  1. Edward W. Piotrowski & Jan Sladkowski, . "What Was the Temperature of the Bagsik Financial Oscillator?," Departmental Working Papers 4, University of Bialtystok, Department of Theoretical Physics. [Downloadable!]
  2. Edward W. Piotrowski & Jan Sladkowski, . "The Thermodynamics of Portfolios," Departmental Working Papers 2, University of Bialtystok, Department of Theoretical Physics. [Downloadable!]
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  1. Ireneusz Pakula & Edward W. Piotrowski & Jan Sladkowski, . "Universality of Measurements on Quantum Markets," Departmental Working Papers 23, University of Bialtystok, Department of Theoretical Physics. [Downloadable!]
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This page was last updated on 2008-10-6.

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