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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