Arbitrage and viability in securities markets with fixed trading costs

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as fixed brokerage fees, investment taxes, operational, and processing costs or opportunity costs. We show that the absence of free lunches in such models is equivalent to the existence of a family of absolutely continuous probability measures for which the normalized securities price processes are martingales. This is a weaker condition than the absence of free lunch in frictionless models, which is equivalent to the existence of an equivalent martingale measure. We also show that the only arbitrage-free pricing rules on the set of attainable contingent claims are those that are equal to the sum of an expected value with respect to any absolutely continuous martingale measure and of a bounded fixed cost functional. Moreover, these pricing rules are the only ones to be viable as models of economic equilibrium.Arbitrage, Fixed costs, Absolutely continuous Martingale measure, Contingent claims pricing

First Responder Assistance Tool for Mobile Device Forensics

The growing importance of mobile telephones, especially so called smartphones , the problem of identifying these phones has become a real issue. There is a prevalence of these devices being used by criminals, foreign agents and terrorists. The need to be able to quickly identify these phones and determine what forensics tools maybe compatible with the device. The issue of imitation phones and the potential of hidden operating systems have further muddied the forensics waters. Having a starting point from which to perform this analysis is important first step. The purpose of this research is to provide that starting point. By analyzing basic aspects of the phone and viewing the compatibility with other forensics tools it will give the investigator ideas as to what they can reasonably expect to gain from analyzing the phone. Additionally this software attempts to gather information about the software with the intention of detecting hidden partitions and secondary operating systems

Viability and Equilibrium in Securities Markets with Frictions

In this paper we study some foundational issues in the theory of asset pricing with market frictions. We model market frictions by letting the set of marketed contingent claims (the opportunity set) be a convex set, and the pricing rule at which these claims are available be convex. This is the reduced form of multiperiod securities price models incorporating a large class of market frictions. It is said to be viable as a model of economic equilibrium if there exist price-taking maximizing agents who are happy with their initial endowment, given the opportunity set, and hence for whom supply equals demand. This is equivalent to the existence of a positive linear pricing rule on the entire space of contingent claims - an underlying frictionless linear pricing rule - that lies below the convex pricing rule on the set of marketed claims. This is also equivalent to the absence of asymptotic free lunches - a generalization of opportunities of arbitrage. When a market for a non marketed contingent claim opens, a bid-ask price pair for this claim is said to be consistent if it is a bid-ask price pair in at least a viable economy with this extended opportunity set. If the set of marketed contingent claims is a convex cone and the pricing rule is convex and sublinear, we show that the set of consistent prices of a claim is a closed interval and is equal (up to its boundary) to the set of its prices for all the underlying frictionless pricing rules. We also show that there exists a unique extended consistent sublinear pricing rule - the supremum of the underlying frictionless linear pricing rules - for which the original equilibrium does not collapse, when a new market opens, regardless of preferences and endowments. If the opportunity set is the reduced form of a multiperiod securities market model, we study the closedness of the interval of prices of a contingent claim for the underlying frictionless pricing rules

In the Spirit of Otsuzure

Heavily patched and mended boro garments from Japan characterize extreme methods of frugality employed to sustain garments over lifetimes. Indigenous Japanese otsuzure (workwear) were examined for clues to efficient material usage, aesthetics of wear, and methods of reuse that may be applied to sustainable contemporary apparel. Principles of wabi-sabi guided the composition of rustic, slightly damaged materials into seemingly simple garment shapes. They integrate clean structures with adaptable fit, plus a collar and pockets. Sashiko stitches reinforce fragile areas. The minimal form of the top is uncontrived; a natural reflection of a solitary rectangle of cloth cut to eliminate all waste while balancing perfectly from the shoulders. The cut of the mompe, led to improved material efficiency and fit, and an unusual pocket composition. A blend of hand and machine technologies integrates function and craft into wearable garments that transcend fast fashion trends—and contribute alternative methods to patternmaking and pocket design

Falling Water

Falling Water integrates alternative approaches to designing, cutting and assembling apparel. Rather than modify conventional pattern shapes, the design strategy deliberately broke away from traditional patternmaking techniques to seek fresh alternatives

Efficient Trading Strategies in the Presence of Market Frictions.

We provide a price characterization of efficient contingent claims - that is, chosen by at least a rational agent - in multiperiod economies with market frictions. Frictions include market incompleteness, transaction costs, short-selling, and borrowing costs. We characterize the inefficiency cost of a trading strategy - its required investment minus the largest amount necessary to obtain the same utility level - and we propose a measure of portfolio performance. We show that arbitrage bounds cannot be tightened based on efficiency without restricting preferences or endowments. We observe common investment strategies becoming inefficient with market frictions and others rationalized by them.Trading strategy; Market frictions;

Growth in Cities

Recent theories of economic growth, including Romer (1986), Porter (1989) and Jacobs (1969), have stressed the role of technological spillovers in generating growth. Because such knowledge spillovers are particularly effective in cities, where communication between people is more extensive, data on the growth of industries in different cities allows us to test some of these theories. Using a new data set on the growth of large industries in 170 U.S. cities between 1956 and 1987, we find that local competition and urban variety, but not regional specialization, encourage employment growth in industries. The evidence suggests that important knowledge spillovers might be between, rather than within industries, consistent with the theories of Jacobs (1969).

Arbitrage And Viability in Securities Markets With Fixed Trading Costs

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transaction costs that are bounded regardless of the transaction size, such as : fixed brokerage fees, investment taxes, operational and processing costs, or opportunity costs. We show that the absence of free lunches in such models is equivalent to the existence of a family of absolutely continuous probability measures for which the normalized price processes are martingales, conditional to any possible future event. This is a weaker condition than the absence of free lunches in frictionless models, which is equivalent to the existence of an equivalent martingale measure. We also show that the only arbitrage free pricing rules on the set of attainable contingent claims are those that are equal to the sum of an expected value with respect to any absolutely continuous martingale measure and of a bounded fixed cost functional. Moreover, these pricing rules are the only ones to be viable as models of economic equilibrium

Arbitrage And Viability in Securities Markets With Fixed Trading Costs

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transaction costs that are bounded regardless of the transaction size, such as fixed brokerage fees, investment taxes, operational and processing costs, or opportunity costs. We show that the absence of free lunches in such models is equivalent to the existence of a family of absolutely continuous probability measures for which the normalized price processes are martingales, conditional to any possible future event. This is a weaker condition than the absence of free lunches in frictionless models, which is equivalent to the existence of an equivalent martingale measure. We also show that the only arbitrage free pricing rules on the set of attainable contingent claims are those that are equal to the sum of an expected value with respect to any absolutely continuous martingale measure and of a bounded fixed cost functional. Moreover, these pricing rules are the only ones to be viable as models of economic equilibrium