Arbitrage risk induced by transaction costs
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 331 (2004)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Piotrowski, E.W. & Sładkowski, J., 2001.
"What was the temperature of the Bagsik financial oscillator?,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 301(1), pages 441-448.
- Edward W. Piotrowski & Jan Sladkowski, "undated". "What Was the Temperature of the Bagsik Financial Oscillator?," Departmental Working Papers 4, University of Bialtystok, Department of Theoretical Physics.
- Edward W. Piotrowski & Jan Sladkowski, "undated". "The Thermodynamics of Portfolios," Departmental Working Papers 2, University of Bialtystok, Department of Theoretical Physics.
- E. W. Piotrowski & J. Sladkowski, 2000. "The thermodynamics of portfolios," Papers cond-mat/0011280, arXiv.org.
- S. Illeris & G. Akehurst, 2001. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 21(1), pages 1-4, January. Full references (including those not matched with items on IDEAS)