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Getting rich quick with the Axiom of Choice

By Vladimir Vovk

Abstract

This paper proposes new get-rich-quick schemes that involve trading in a financial security with a non-degenerate price path. For simplicity the interest rate is assumed zero. If the price path is assumed continuous, the trader can become infinitely rich immediately after it becomes non-constant (if it ever does). If it is assumed positive, he can become infinitely rich immediately after reaching a point in time such that the variation of the log price is infinite in any right neighbourhood of that point (whereas reaching a point in time such that the variation of the log price is infinite in any left neighbourhood of that point is not sufficient). The practical value of these schemes is tempered by their use of the Axiom of Choice.Comment: 21 pages. This version takes account of the feedback from reviewer

Topics: Quantitative Finance - Mathematical Finance, Quantitative Finance - Trading and Market Microstructure, 91G99 (Primary), 60G05 (Secondary)
Publisher: 'Springer Science and Business Media LLC'
Year: 2017
DOI identifier: 10.1007/s00780-017-0336-4
OAI identifier: oai:arXiv.org:1604.00596

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