If we have not predictable process then arbitrage exists [closed]
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Generally a portfolio is any predictable process. I want to prove that if we resign from predictability then we will have market arbitrage.
From logical standpoint if we use predictable process then we build our portfolio $phi_t$ based on $mathcal{F}_s$ where $s<t$. Which means we use knowledge prior, to $t$ to construct our portfolio. If we resign from predictability then I assume we can construct our portfolio using more data.
My problem is that I can't think about concrete mathematical example of not predictable process which generates arbitrage.
stochastic-processes finance
asked Jan 13 at 14:58
MarcinMMarcinM
163
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closed as unclear what you're asking by Raskolnikov, Xander Henderson, amWhy, max_zorn, Shailesh Jan 14 at 2:46
Please clarify your specific problem or add additional details to highlight exactly what you need. As it's currently written, it’s hard to tell exactly what you're asking. See the How to Ask page for help clarifying this question. If this question can be reworded to fit the rules in the help center, please edit the question.
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$begingroup$
Generally a portfolio is any predictable process. I want to prove that if we resign from predictability then we will have market arbitrage.
From logical standpoint if we use predictable process then we build our portfolio $phi_t$ based on $mathcal{F}_s$ where $s<t$. Which means we use knowledge prior, to $t$ to construct our portfolio. If we resign from predictability then I assume we can construct our portfolio using more data.
My problem is that I can't think about concrete mathematical example of not predictable process which generates arbitrage.
stochastic-processes finance
asked Jan 13 at 14:58
MarcinMMarcinM
163
$endgroup$
closed as unclear what you're asking by Raskolnikov, Xander Henderson, amWhy, max_zorn, Shailesh Jan 14 at 2:46
Please clarify your specific problem or add additional details to highlight exactly what you need. As it's currently written, it’s hard to tell exactly what you're asking. See the How to Ask page for help clarifying this question. If this question can be reworded to fit the rules in the help center, please edit the question.
add a comment |
$begingroup$
Generally a portfolio is any predictable process. I want to prove that if we resign from predictability then we will have market arbitrage.
From logical standpoint if we use predictable process then we build our portfolio $phi_t$ based on $mathcal{F}_s$ where $s<t$. Which means we use knowledge prior, to $t$ to construct our portfolio. If we resign from predictability then I assume we can construct our portfolio using more data.
My problem is that I can't think about concrete mathematical example of not predictable process which generates arbitrage.
stochastic-processes finance
asked Jan 13 at 14:58
MarcinMMarcinM
163
$endgroup$
Generally a portfolio is any predictable process. I want to prove that if we resign from predictability then we will have market arbitrage.
From logical standpoint if we use predictable process then we build our portfolio $phi_t$ based on $mathcal{F}_s$ where $s<t$. Which means we use knowledge prior, to $t$ to construct our portfolio. If we resign from predictability then I assume we can construct our portfolio using more data.
My problem is that I can't think about concrete mathematical example of not predictable process which generates arbitrage.
stochastic-processes finance
stochastic-processes finance
asked Jan 13 at 14:58
MarcinMMarcinM
163
asked Jan 13 at 14:58
MarcinMMarcinM
163
asked Jan 13 at 14:58
MarcinMMarcinM
163
asked Jan 13 at 14:58
MarcinMMarcinM
163
asked Jan 13 at 14:58
MarcinMMarcinM
163
163
closed as unclear what you're asking by Raskolnikov, Xander Henderson, amWhy, max_zorn, Shailesh Jan 14 at 2:46
Please clarify your specific problem or add additional details to highlight exactly what you need. As it's currently written, it’s hard to tell exactly what you're asking. See the How to Ask page for help clarifying this question. If this question can be reworded to fit the rules in the help center, please edit the question.
closed as unclear what you're asking by Raskolnikov, Xander Henderson, amWhy, max_zorn, Shailesh Jan 14 at 2:46
Please clarify your specific problem or add additional details to highlight exactly what you need. As it's currently written, it’s hard to tell exactly what you're asking. See the How to Ask page for help clarifying this question. If this question can be reworded to fit the rules in the help center, please edit the question.
add a comment |
add a comment |
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