Arbitrage risk induced by transaction costs

Details Arbitrage risk induced by transaction costs Arbitrage risk induced by transaction costs

2003-05-20

arxiv.org/abs/cond-mat/0305472v2

Physics

Condensed Matter

9 pages, LaTeX

Scientific paper

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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