Arbitrage risk induced by transaction costs
Copyright policy )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.
9 pages, LaTeX
- University of Białystok Poland
- University of Silesia Poland
- Institute of Physics Poland
- Polish Academy of Sciences Poland
Condensed Matter (cond-mat), FOS: Physical sciences, Condensed Matter, Computational Physics (physics.comp-ph), Finance etc., Lattice systems (Ising, dimer, Potts, etc.) and systems on graphs arising in equilibrium statistical mechanics, Physics - Computational Physics
Condensed Matter (cond-mat), FOS: Physical sciences, Condensed Matter, Computational Physics (physics.comp-ph), Finance etc., Lattice systems (Ising, dimer, Potts, etc.) and systems on graphs arising in equilibrium statistical mechanics, Physics - Computational Physics
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