Rough paths in idealized financial markets

This paper considers possible price paths of a financial security in an idealized market. Its main result is that the variation index of typical price paths is at most 2, in this sense, typical price paths are not rougher than typical paths of Brownian motion. We do not make any stochastic assumptions and only assume that the price path is positive and right-continuous. The qualification "typical" means that there is a trading strategy (constructed explicitly in the proof) that risks only one monetary unit but brings infinite capital when the variation index of the realized price path exceeds 2. The paper also reviews some known results for continuous price paths and lists several open problems.Comment: 21 pages, this version adds (in Appendix C) a reference to new results in the foundations of game-theoretic probability based on Hardin and Taylor's work on hat puzzle

Higgs field in cosmology

The accelerated expansion of the early universe is an integral part of modern cosmology and dynamically realized by the mechanism of inflation. The simplest theoretical description of the inflationary paradigm is based on the assumption of an additional propagating scalar degree of freedom which drives inflation - the inflaton. In most models of inflation the fundamental nature of the inflaton remains unexplained. In the model of Higgs inflation, the inflaton is identified with the Standard Model Higgs boson and connects cosmology with elementary particle physics. A characteristic feature of this model is a non-minimal coupling of the Higgs boson to gravity. I review and discuss several phenomenological and fundamental aspects of this model, including the impact of quantum corrections and the renormalization group, the derivation of initial conditions for Higgs inflation in a quantum cosmological framework and the classical and quantum equivalence of different field parametrizations.Comment: 36 pages, 9 figures; references added, typos corrected. Invited contribution to the Heraeus-Seminar "Hundred Years of Gauge Theory", 30 July - 3 August 2018, Physikzentrum Bad Honnef, organized by Silvia De Bianchi and Claus Kiefer. To appear in the proceedings "100 Years of Gauge Theory. Past, present and future perspectives" in the series `Fundamental Theories of Physics' (Springer

A new class of nearly self-financing strategies

For a large class of models, we prove that the stop-loss start-gain trading strategy is as close to producing arbitrage as we please. (C) 2002 Elsevier Science B.V. All rights reserved