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 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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- Piotrowski, E.W. & Sładkowski, J., 2001.
"What was the temperature of the Bagsik financial oscillator?,"
Physica A: Statistical Mechanics and its Applications,
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- 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)