One-Penny Arbitrages, or: A Free Snack without a Free Lunch
An arbitrage is a serious inefficiency of a financial market, and it is traditionally considered to completely disrupt a price system and to allow agents for growing unlimitedly rich. By means of a simple example, this paper points out that this is only true when dealing with positively homogeneous...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Stefan cel Mare University of Suceava
2011-01-01
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| Series: | Journal of Applied Computer Science & Mathematics |
| Subjects: | |
| Online Access: | http://jacs.usv.ro/getpdf.php?issue=10&paperid=1017 |
| _version_ | 1819266661551702016 |
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| author | Erio Castagnoli Gino Favero Claudio Tebaldi |
| author_facet | Erio Castagnoli Gino Favero Claudio Tebaldi |
| author_sort | Erio Castagnoli |
| collection | DOAJ |
| description | An arbitrage is a serious inefficiency of a financial market, and it is traditionally considered to completely disrupt a price system and to allow agents for growing unlimitedly rich. By means of a simple example, this paper points out that this is only true when dealing with positively homogeneous price systems; indeed, in more general financial market models (taking into consideration, e.g., liquidity limitations), arbitrages might just yield a light effect without overall critical consequences (allowing, in particular, to realise just a limited, and possibly very small, gain). |
| first_indexed | 2024-12-23T21:04:49Z |
| format | Article |
| id | doaj.art-5739a9e57d4041b1bea0b0aa1c723914 |
| institution | Directory Open Access Journal |
| issn | 2066-4273 2066-3129 |
| language | English |
| last_indexed | 2024-12-23T21:04:49Z |
| publishDate | 2011-01-01 |
| publisher | Stefan cel Mare University of Suceava |
| record_format | Article |
| series | Journal of Applied Computer Science & Mathematics |
| spelling | doaj.art-5739a9e57d4041b1bea0b0aa1c7239142022-12-21T17:31:15ZengStefan cel Mare University of SuceavaJournal of Applied Computer Science & Mathematics2066-42732066-31292011-01-01510102103One-Penny Arbitrages, or: A Free Snack without a Free LunchErio CastagnoliGino FaveroClaudio TebaldiAn arbitrage is a serious inefficiency of a financial market, and it is traditionally considered to completely disrupt a price system and to allow agents for growing unlimitedly rich. By means of a simple example, this paper points out that this is only true when dealing with positively homogeneous price systems; indeed, in more general financial market models (taking into consideration, e.g., liquidity limitations), arbitrages might just yield a light effect without overall critical consequences (allowing, in particular, to realise just a limited, and possibly very small, gain).http://jacs.usv.ro/getpdf.php?issue=10&paperid=1017ArbitrageLiquidityFree LunchPositive Homogeneity |
| spellingShingle | Erio Castagnoli Gino Favero Claudio Tebaldi One-Penny Arbitrages, or: A Free Snack without a Free Lunch Journal of Applied Computer Science & Mathematics Arbitrage Liquidity Free Lunch Positive Homogeneity |
| title | One-Penny Arbitrages, or: A Free Snack without a Free Lunch |
| title_full | One-Penny Arbitrages, or: A Free Snack without a Free Lunch |
| title_fullStr | One-Penny Arbitrages, or: A Free Snack without a Free Lunch |
| title_full_unstemmed | One-Penny Arbitrages, or: A Free Snack without a Free Lunch |
| title_short | One-Penny Arbitrages, or: A Free Snack without a Free Lunch |
| title_sort | one penny arbitrages or a free snack without a free lunch |
| topic | Arbitrage Liquidity Free Lunch Positive Homogeneity |
| url | http://jacs.usv.ro/getpdf.php?issue=10&paperid=1017 |
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