Arbitrage-Free Price-Update and Price-Impact Functions
AbstractConsider a trading environment where trading volume affects security prices. We show that when the price impact is time stationary, only linear price-impact functions rule out arbitrage. This is true whether a single asset or a portfolio of assets is traded. When the temporary and perm
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Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm164.
Date of creation: 01 Dec 2000
Date of revision: 01 Jan 2001
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- Liu, Hong & Yong, Jiongmin, 2005. "Option pricing with an illiquid underlying asset market," Journal of Economic Dynamics and Control, Elsevier, vol. 29(12), pages 2125-2156, December.
- Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc.
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