On the existence of sure profits via flash strategies

DOI10.1017/jpr.2019.32zbMath1422.91650arXiv1708.03099OpenAlexW2964641094MaRDI QIDQ5226247

Claudio Fontana, Eckhard Platen, Markus Pelger

Publication date: 31 July 2019

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.03099

zbMATH Keywords

arbitragesemimartingalehigh-frequency tradingright-continuitypredictable time

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (2)

Term structure modeling with overnight rates beyond stochastic continuity ⋮ Term structure modelling for multiple curves with stochastic discontinuities

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