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My bibliography Save this paperThe geometry of relative arbitrage
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- Adrian Banner & Daniel Fernholz, 2008. "Short-term relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, vol. 4(4), pages 445-454, October.
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"A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data,"
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- Winslow Strong, 2012. "Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage," Papers 1212.1877, arXiv.org, revised Oct 2013.
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"Microstructure noise in the continuous case: The pre-averaging approach,"
Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2249-2276, July.
- Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2007. "Microstructure noise in the continuous case: the pre-averaging approach," Technical Reports 2007,41, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Robert Fernholz, 1999. "Portfolio Generating Functions," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 15, pages 344-367, World Scientific Publishing Co. Pte. Ltd..
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- Pal, Soumik, 2019. "Exponentially concave functions and high dimensional stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3116-3128.
- Ioannis Karatzas & Johannes Ruf, 2016. "Trading Strategies Generated by Lyapunov Functions," Papers 1603.08245, arXiv.org.
- Soumik Pal, 2016. "Exponentially concave functions and high dimensional stochastic portfolio theory," Papers 1603.01865, arXiv.org, revised Mar 2016.
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This paper has been announced in the following NEP Reports:- NEP-MST-2014-02-21 (Market Microstructure)
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