scholarly journals Asymptotic arbitrage in fractional mixed markets

2018 ◽  
pp. 415-428
Author(s):  
Fernando Cordero ◽  
Irene Klein ◽  
Lavinia Perez-Ostafe
Keyword(s):  
Asymptotic Arbitrage ◽  
Mixed Markets

Absence of Envy among “Neighbors” Can Be Enough

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Chiara Donnini ◽  
Marialaura Pesce
Keyword(s):  
Mixed Markets ◽  
Entire Society ◽  
Equivalence Theorems ◽  
Definition Of ◽  
Equal Income ◽  
Walrasian Equilibria

AbstractWe assume that the set of agents is decomposed into several classes containing individuals related each other in some way, for example groups of neighbors. We propose a new definition of fairness by requiring efficiency and envy-freeness only within each group. We identify conditions under which absence of envy among “neighbors” is enough to ensure fairness in the entire society. We also show that equal-income Walrasian equilibria are the only fair allocations according to our notion, deriving as corollaries the equivalence theorems of Zhou (1992) and Cato (2010). The analysis is conducted in atomless economies as well as in mixed markets.

scholarly journals R&D Subsidies, Spillovers, and Privatization in Mixed Markets

2011 ◽  
Vol 78 (1) ◽  
pp. 233-255 ◽  
Author(s):  
Maria José Gil-Moltó ◽  
Joanna Poyago-Theotoky ◽  
Vasileios Zikos
Keyword(s):  
Mixed Markets

scholarly journals CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS

2015 ◽  
Vol 18 (05) ◽  
pp. 1550029 ◽  
Author(s):  
FERNANDO CORDERO ◽  
LAVINIA PEREZ-OSTAFE
Keyword(s):  
Transaction Costs ◽  
Trading Strategies ◽  
Apparent Contradiction ◽  
New Family ◽  
Black Scholes Model ◽  
Asymptotic Arbitrage ◽  
Arbitrage Opportunities ◽  
Large Financial Market ◽  
Approximating Sequence ◽  
Black Scholes

We study the arbitrage opportunities in the presence of transaction costs in a sequence of binary markets approximating the fractional Black–Scholes model. This approximating sequence was constructed by Sottinen and named fractional binary markets. Since, in the frictionless case, these markets admit arbitrage, we aim to determine the size of the transaction costs needed to eliminate the arbitrage from these models. To gain more insight, we first consider only 1-step trading strategies and we prove that arbitrage opportunities appear when the transaction costs are of order [Formula: see text]. Next, we characterize the asymptotic behavior of the smallest transaction costs [Formula: see text], called "critical" transaction costs, starting from which the arbitrage disappears. Since the fractional Black–Scholes model is arbitrage-free under arbitrarily small transaction costs, one could expect that [Formula: see text] converges to zero. However, the true behavior of [Formula: see text] is opposed to this intuition. More precisely, we show, with the help of a new family of trading strategies, that [Formula: see text] converges to one. We explain this apparent contradiction and conclude that it is appropriate to see the fractional binary markets as a large financial market and to study its asymptotic arbitrage opportunities. Finally, we construct a 1-step asymptotic arbitrage in this large market when the transaction costs are of order o(1/NH), whereas for constant transaction costs, we prove that no such opportunity exists.

On exploitation in a class of differentiable mixed markets

1982 ◽  
Vol 9 (4) ◽  
pp. 301-304 ◽  
Author(s):  
Benyamin Shitovitz
Keyword(s):  
Mixed Markets

Sino-Russian negotiation styles: A cross-cultural analysis of situated patterns

2019 ◽  
pp. 205789111988781 ◽  
Author(s):  
Tariq H Malik
Keyword(s):  
Cultural Analysis ◽  
Strategic Partnership ◽  
Future Research ◽  
Economic Sectors ◽  
Two Cultures ◽  
Mixed Markets ◽  
The Two Cultures ◽  
Negotiation Style ◽  
Belt And Road ◽  
Positive Correlations

China and Russia have transitioned from centralised economies to mixed markets, they have developed institutions and economic sectors and they joined hands in the strategic partnership in economic and political paths through the Belt and Road Initiative (BRI). Most writers compare or contrast their political and economic powers and preferences vis-a-vis Western cultures and countries; none assess the cultural and contextual styles between the two partners. We build on this question to assess whether and how the two neighbours differ in negotiation style rather than how their institutions shape their behaviour. Based on the behavioural negotiation framework proposed in the early 1990s, we gathered evidence through two surveys: one in Russia and the other in China. We received 988 responses from China and 708 responses from Russia, which we analysed in correlational statistics. The statistical analysis shows negative correlations for four styles of negotiation and positive correlations for six styles of negotiation. We interpreted the negative correlation as divergence between the two cultures and positive correlation as convergence between the two cultures on those styles. The magnitude of the correlation further supports the competing positions of the two cultures on the semantic spectrums. We offer theoretical and policy suggestions at the end of the article. In concluding remarks, we draw attention to multiple gaps which can be filled in future research.

Asymptotic arbitrage with small transaction costs

2014 ◽  
Vol 18 (4) ◽  
pp. 917-939 ◽  
Author(s):  
Irene Klein ◽  
Emmanuel Lépinette ◽  
Lavinia Perez-Ostafe
Keyword(s):  
Transaction Costs ◽  
Asymptotic Arbitrage

Large Financial Markets: Asymptotic Arbitrage and Contiguity

1995 ◽  
Vol 39 (1) ◽  
pp. 182-187 ◽  
Author(s):  
Yu. M. Kabanov ◽  
D. O. Kramkov
Keyword(s):  
Financial Markets ◽  
Asymptotic Arbitrage

scholarly journals Asymptotic arbitrage in large financial markets with friction

2012 ◽  
Vol 6 (4) ◽  
pp. 313-335 ◽  
Author(s):  
Emmanuel Lepinette ◽  
Lavinia Ostafe
Keyword(s):  
Financial Markets ◽  
Asymptotic Arbitrage
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